EDUCATIONAL OVERVIEWCRISIS RISK OFFSETSMCLASS MANAGEMENT
amp THE SYSTEMATIC TREND FOLLOWING STRATEGY Rhode Island State Investment Commission
November 16 2016
1Rhode Island SIC Systematic Trend Following
Table of Contents
Section Tab
Brief Background amp Review of CROSM class management 1
Systematic Trend Following Strategy amp Benchmark Review 2
Due Diligence Plan Update Relating To STF and Platform 3Manager
Appendix
Rhode Island SIC Systematic Trend Following 2
Background amp Review Crisis Risk OffsetSM (CROSM) Class
Rhode Island SIC Systematic Trend Following 3
Background
bull At its September 28 2016 meeting the RISIC approved a 8 allocation to a CROSM class
bull CROSM rationale produce appreciation during a growth crisis
bull Key features of the CROSM class In aggregate high-confidence of negative conditional crisis correlation Relatively high volatility must be gt= to the volatility of the Total Portfolio Responsive and complementary strategies
Duration first responder during a flight-to-quality a crisis Systematic trend following (STF) performs well when crisis is confirmed
Because of low cross-correlations individual components must exhibit higher isolated volatilities than the CRO portfolio volatility target
Rhode Island SIC Systematic Trend Following 4
CROSM Implementation Considerations
bull All underlying strategiescomponent portfolios will have high liquiditymarketability
bull All-in costs will be reasonable (likely in the 40bp ndash 100bp range)
bull Given highly-volatile components there should be continual oversight
bull The systematic trend following strategy component will bull employ long and short positionsbull will use derivatives leverage to establish volatility levels
bull Managers are not seeking ldquoalphardquo they are seeking risk capturebull Duration managers capturing interest rate riskbull STF managers capturing trendmomentum risks across dozens of markets
Rhode Island SIC Systematic Trend Following 5
CROSM Implementation Considerations (Platform Manager)
bull Act as fiduciary to the plan
bull Key role gathering and accounting for all long-short positions across all component managers
bull Reconciling manager position data with primary broker position data
bull Provide account administrative functions very similar to RISIC custodian function
bull Netting all positions and providing risk analyticscharacteristics of aggregate portfolio
bull Monitoring and managing risk levels per client directionguidelinesbull Re-setting manager account levels (ie rebalancing among managers)bull Directing managers to adjust collateral levels
bull Provide best-practices user-interfaces to asset-owners such as RISIC
Rhode Island SIC Systematic Trend Following 6
CROSM Class Management Diagram
bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager
PlatformManager
RIA and Fiduciary
BrokersTrade Execution Admin - NAV Calculations
SubscriptionsRedemptions
Trade Reconciliation
(vetted by platform manager)
PlatformManager
Client CustodianCash Safekeeping
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 Portfolio34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110078103541372000000021062023852604000210889992584601421120689136881332111377236117619285117413076733831011176009376566051512082320334839614120049934846966412403559268388566126491497419026611291098714156004612965213287554598130611558658825031325837931945732713416154033358869134443279568289231295764328479171613194768156903405137291562672579911392685611750650514660801434899098144951343786847381495028159817543915011577752727958145477200001686651505543542817455115872945571924428164681810308715961742992280307449816730982898671209175273776846479616971759812044621737908204753369217671050625932256178495282372541731885088677136413319576645912061652197450050669053811940144197874122719861256153637394196507268384088361731032527195434318110062299518634192328861620887912017529758403114221143711868064639216575040664586120994784442024979216792144148349932250952832692317222043581090555859229385504828324252250271802365861223339476384811732200563860819549723075112644553797236473754381387292499054636302501240933857485924112438732505472523725901777940623676250444290907890332446339833588272725197300285959208247815448312408832616683318730725251594101095959212482982183716021323141393952233318235880228555114212425792270460794622521055438958015213499605561321992265230815005626422722530305321442234760855528363822139775795719498212453288535724291979002382710271820251131382274212213021651010142452150240545296378212551277902546952102982343567799521685953926871147210353753090650122094492319523603419901866020113279187236755517225721886223075080532174890603521466931840024039649353719178570565265214185399241654418831819508157596466418045881907041754181162608464792171923765739287628220184150136605794204061757881084562057758766472856520970619589124877210356285098511682194226409862575222055712678092612311599968978943923513594884453819238521906507899532373292969753600323179952435583413233816180217729872377442920453877423161048931061674233509695322963823689558590514674240922810865534222497887703053858725745728555376122252797308685238152577521359354688225367965218768842250052033161404525685344846339473258985332085640922665736023157502266626917036213352695064877402044326435891382436654272474732478774582751177373838187328392150498010094284290602936575092881569551365125429245049376804655284174144794410832845719885971230528565336215379213292280520155760162969570084782523330613298004023028312929132197123393165904030438297532061110116248637318495067894813923221577611756043133327220393616264342170571781258163383724784344861933130049363520544334116547831104653462783901721568535441593234120257342436673828069883403820537851014532244391955062661317994193460827963158000335259482332881099490721728333512992134390531136772945666698307755863794969643087406825591135628209636165426204240120423040107862289788354110468723580240470629605220970433450270052049942711118155221782691248341517234926325113363272472599571818148224770502510474208263508605706424652712030569930522328077652490490692276396411116390392876181054077158229224875690478003284767188728017652906333928158148230449660565312922308759558132273032895855895722588628037676782386103296330205913038692879144280651083930812602091527901317154113328096713157586352294531133160971871797167336617025470612983457393468608665834663826916270479356760106622255753536206176839798834866992903640415344276687930545493281301112666029307818857379200183334909500846254433028943696381301332304202529292253464603615570400835830930592229087363970592955863073625875047026307934344288445433189354570433910652223586479939006247636531884658717635373355861212094233696969737722156937261757986501623772380378553423839183714992034413394971847119706884050436292212594412374918910164241575639324522751408397505084786964256727195498734241656332335150612431601259324495514466641432749203745510609558281629463298005303307034516692253701940346969082746246484714286835240759647345582686322949482782906652435174921971733321576948466655658017572499836619801135348879023050353023498272760975298735077399434338294505505887682720534974683440685653519854419551650751553962786937202520179484520196315239767947571937951501679156684581521506003140588084942833897766493448207459004916604512782741435297945132955241767331450441551160847569481565488932611714814691758348251651040547330249817514590798183578625200969197241429152165721048331535398108814081346541106427523514154245919359232282
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
1Rhode Island SIC Systematic Trend Following
Table of Contents
Section Tab
Brief Background amp Review of CROSM class management 1
Systematic Trend Following Strategy amp Benchmark Review 2
Due Diligence Plan Update Relating To STF and Platform 3Manager
Appendix
Rhode Island SIC Systematic Trend Following 2
Background amp Review Crisis Risk OffsetSM (CROSM) Class
Rhode Island SIC Systematic Trend Following 3
Background
bull At its September 28 2016 meeting the RISIC approved a 8 allocation to a CROSM class
bull CROSM rationale produce appreciation during a growth crisis
bull Key features of the CROSM class In aggregate high-confidence of negative conditional crisis correlation Relatively high volatility must be gt= to the volatility of the Total Portfolio Responsive and complementary strategies
Duration first responder during a flight-to-quality a crisis Systematic trend following (STF) performs well when crisis is confirmed
Because of low cross-correlations individual components must exhibit higher isolated volatilities than the CRO portfolio volatility target
Rhode Island SIC Systematic Trend Following 4
CROSM Implementation Considerations
bull All underlying strategiescomponent portfolios will have high liquiditymarketability
bull All-in costs will be reasonable (likely in the 40bp ndash 100bp range)
bull Given highly-volatile components there should be continual oversight
bull The systematic trend following strategy component will bull employ long and short positionsbull will use derivatives leverage to establish volatility levels
bull Managers are not seeking ldquoalphardquo they are seeking risk capturebull Duration managers capturing interest rate riskbull STF managers capturing trendmomentum risks across dozens of markets
Rhode Island SIC Systematic Trend Following 5
CROSM Implementation Considerations (Platform Manager)
bull Act as fiduciary to the plan
bull Key role gathering and accounting for all long-short positions across all component managers
bull Reconciling manager position data with primary broker position data
bull Provide account administrative functions very similar to RISIC custodian function
bull Netting all positions and providing risk analyticscharacteristics of aggregate portfolio
bull Monitoring and managing risk levels per client directionguidelinesbull Re-setting manager account levels (ie rebalancing among managers)bull Directing managers to adjust collateral levels
bull Provide best-practices user-interfaces to asset-owners such as RISIC
Rhode Island SIC Systematic Trend Following 6
CROSM Class Management Diagram
bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager
PlatformManager
RIA and Fiduciary
BrokersTrade Execution Admin - NAV Calculations
SubscriptionsRedemptions
Trade Reconciliation
(vetted by platform manager)
PlatformManager
Client CustodianCash Safekeeping
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 2
Background amp Review Crisis Risk OffsetSM (CROSM) Class
Rhode Island SIC Systematic Trend Following 3
Background
bull At its September 28 2016 meeting the RISIC approved a 8 allocation to a CROSM class
bull CROSM rationale produce appreciation during a growth crisis
bull Key features of the CROSM class In aggregate high-confidence of negative conditional crisis correlation Relatively high volatility must be gt= to the volatility of the Total Portfolio Responsive and complementary strategies
Duration first responder during a flight-to-quality a crisis Systematic trend following (STF) performs well when crisis is confirmed
Because of low cross-correlations individual components must exhibit higher isolated volatilities than the CRO portfolio volatility target
Rhode Island SIC Systematic Trend Following 4
CROSM Implementation Considerations
bull All underlying strategiescomponent portfolios will have high liquiditymarketability
bull All-in costs will be reasonable (likely in the 40bp ndash 100bp range)
bull Given highly-volatile components there should be continual oversight
bull The systematic trend following strategy component will bull employ long and short positionsbull will use derivatives leverage to establish volatility levels
bull Managers are not seeking ldquoalphardquo they are seeking risk capturebull Duration managers capturing interest rate riskbull STF managers capturing trendmomentum risks across dozens of markets
Rhode Island SIC Systematic Trend Following 5
CROSM Implementation Considerations (Platform Manager)
bull Act as fiduciary to the plan
bull Key role gathering and accounting for all long-short positions across all component managers
bull Reconciling manager position data with primary broker position data
bull Provide account administrative functions very similar to RISIC custodian function
bull Netting all positions and providing risk analyticscharacteristics of aggregate portfolio
bull Monitoring and managing risk levels per client directionguidelinesbull Re-setting manager account levels (ie rebalancing among managers)bull Directing managers to adjust collateral levels
bull Provide best-practices user-interfaces to asset-owners such as RISIC
Rhode Island SIC Systematic Trend Following 6
CROSM Class Management Diagram
bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager
PlatformManager
RIA and Fiduciary
BrokersTrade Execution Admin - NAV Calculations
SubscriptionsRedemptions
Trade Reconciliation
(vetted by platform manager)
PlatformManager
Client CustodianCash Safekeeping
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 3
Background
bull At its September 28 2016 meeting the RISIC approved a 8 allocation to a CROSM class
bull CROSM rationale produce appreciation during a growth crisis
bull Key features of the CROSM class In aggregate high-confidence of negative conditional crisis correlation Relatively high volatility must be gt= to the volatility of the Total Portfolio Responsive and complementary strategies
Duration first responder during a flight-to-quality a crisis Systematic trend following (STF) performs well when crisis is confirmed
Because of low cross-correlations individual components must exhibit higher isolated volatilities than the CRO portfolio volatility target
Rhode Island SIC Systematic Trend Following 4
CROSM Implementation Considerations
bull All underlying strategiescomponent portfolios will have high liquiditymarketability
bull All-in costs will be reasonable (likely in the 40bp ndash 100bp range)
bull Given highly-volatile components there should be continual oversight
bull The systematic trend following strategy component will bull employ long and short positionsbull will use derivatives leverage to establish volatility levels
bull Managers are not seeking ldquoalphardquo they are seeking risk capturebull Duration managers capturing interest rate riskbull STF managers capturing trendmomentum risks across dozens of markets
Rhode Island SIC Systematic Trend Following 5
CROSM Implementation Considerations (Platform Manager)
bull Act as fiduciary to the plan
bull Key role gathering and accounting for all long-short positions across all component managers
bull Reconciling manager position data with primary broker position data
bull Provide account administrative functions very similar to RISIC custodian function
bull Netting all positions and providing risk analyticscharacteristics of aggregate portfolio
bull Monitoring and managing risk levels per client directionguidelinesbull Re-setting manager account levels (ie rebalancing among managers)bull Directing managers to adjust collateral levels
bull Provide best-practices user-interfaces to asset-owners such as RISIC
Rhode Island SIC Systematic Trend Following 6
CROSM Class Management Diagram
bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager
PlatformManager
RIA and Fiduciary
BrokersTrade Execution Admin - NAV Calculations
SubscriptionsRedemptions
Trade Reconciliation
(vetted by platform manager)
PlatformManager
Client CustodianCash Safekeeping
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 4
CROSM Implementation Considerations
bull All underlying strategiescomponent portfolios will have high liquiditymarketability
bull All-in costs will be reasonable (likely in the 40bp ndash 100bp range)
bull Given highly-volatile components there should be continual oversight
bull The systematic trend following strategy component will bull employ long and short positionsbull will use derivatives leverage to establish volatility levels
bull Managers are not seeking ldquoalphardquo they are seeking risk capturebull Duration managers capturing interest rate riskbull STF managers capturing trendmomentum risks across dozens of markets
Rhode Island SIC Systematic Trend Following 5
CROSM Implementation Considerations (Platform Manager)
bull Act as fiduciary to the plan
bull Key role gathering and accounting for all long-short positions across all component managers
bull Reconciling manager position data with primary broker position data
bull Provide account administrative functions very similar to RISIC custodian function
bull Netting all positions and providing risk analyticscharacteristics of aggregate portfolio
bull Monitoring and managing risk levels per client directionguidelinesbull Re-setting manager account levels (ie rebalancing among managers)bull Directing managers to adjust collateral levels
bull Provide best-practices user-interfaces to asset-owners such as RISIC
Rhode Island SIC Systematic Trend Following 6
CROSM Class Management Diagram
bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager
PlatformManager
RIA and Fiduciary
BrokersTrade Execution Admin - NAV Calculations
SubscriptionsRedemptions
Trade Reconciliation
(vetted by platform manager)
PlatformManager
Client CustodianCash Safekeeping
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 5
CROSM Implementation Considerations (Platform Manager)
bull Act as fiduciary to the plan
bull Key role gathering and accounting for all long-short positions across all component managers
bull Reconciling manager position data with primary broker position data
bull Provide account administrative functions very similar to RISIC custodian function
bull Netting all positions and providing risk analyticscharacteristics of aggregate portfolio
bull Monitoring and managing risk levels per client directionguidelinesbull Re-setting manager account levels (ie rebalancing among managers)bull Directing managers to adjust collateral levels
bull Provide best-practices user-interfaces to asset-owners such as RISIC
Rhode Island SIC Systematic Trend Following 6
CROSM Class Management Diagram
bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager
PlatformManager
RIA and Fiduciary
BrokersTrade Execution Admin - NAV Calculations
SubscriptionsRedemptions
Trade Reconciliation
(vetted by platform manager)
PlatformManager
Client CustodianCash Safekeeping
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
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Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
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$14
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Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 6
CROSM Class Management Diagram
bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager
PlatformManager
RIA and Fiduciary
BrokersTrade Execution Admin - NAV Calculations
SubscriptionsRedemptions
Trade Reconciliation
(vetted by platform manager)
PlatformManager
Client CustodianCash Safekeeping
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 7
Systematic Trend Following Benchmark Review
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 8
bull Momentum and Trend Following are somewhat interchangeable terms
bull That which has done well recently will continue to do well
bull That which has done poorly recently will continue to do poorly
bull Buy what is going up sell what is going down
Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort
bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle
Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets
Description ndash What is Systematic Trend Following
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 9
bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc
bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)
bull The trend horizon of a moving average is half of its moving average ndash this makes sense
Trend Following Terminology
0 1 2 3 4 5 6 7 8 9 10
Example The average lookback of an equally weighted moving average is total days in the moving average divided by two
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
Rhode Island SIC Systematic Trend Following 10
bull Manage long and short positions according to systematic signals
bull Implemented in futures and forwards (currency) markets (see Appendix)
bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components
bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)
bull Systematic = rules-based implementation
bull Related terms = managed futures CTAs (commodity trading advisors)
How do systematic trend following managers invest
Rhode Island SIC Systematic Trend Following 11
Basic Trend Following Example
bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position
Rhode Island SIC Systematic Trend Following 12
bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria
Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months
Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)
Focus on global futures markets (ie utilize forwards on limited basis)
Strong focus on risk management and diversification
Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio
RISIC Mandate ndash Trend Following Allocation
Rhode Island SIC Systematic Trend Following 13
Why medium-term trends
o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months
o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)
o The average of all trend horizons traded is the horizon of the strategy
Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods
What length of trend is best How many
Rhode Island SIC Systematic Trend Following 14
bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)
bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced
bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)
Trend Following Benchmarks
Rhode Island SIC Systematic Trend Following 15
Investable Trend Following Benchmark Comparisons
Source Mount Lucas Management Credit Suisse
Several distinctions between indices can produce different performance behaviors
Selected Investable STF Benchmark Characteristics
MLM Index 3X trade (with interest on cash)
Credit Suisse Managed Futures Liquid Indextrade
15 Target VolBasic trend signal Time-series momentum Moving Average Crossover
of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months
Average look-back period 12-months 5 monthsMarkets traded
Number of markets 22 31
Major market segmentsFixed Income (5)
Currencies (6) Commodities (11)
Fixed Income (4) Currencies (5)
Commodities (17) (in 4 aggregated contracts)
Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily
Volatility Framework
Leveraged to set volatility at 3-times non-levered index volatility Volatility is not
bounded but results from construction
Leveraged to target volatility at an expected forward-looking standard deviation of 15
(within a range of variation)SampP 500
1995-2016 Volatility
Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995
Rhode Island SIC Systematic Trend Following 16
The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index
Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40
-30
-20
-10
0
10
20
30
40
Annu
al R
etur
ns -
Calendar Year Returns
MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio
Rhode Island SIC Systematic Trend Following 17
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
CSMF IndexTM
15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM
$0
$2
$4
$6
$8
$10
$12
$14
$16
Growth of $1 ndash Index Comparisons
MLM Index 3X Credit Suisse Index 15 Vol
SampP 500 Index 7030 Portfolio
Returns to systematic trend following are episodic with long periods of little going on
Rhode Island SIC Systematic Trend Following 18
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index
Comparative Performance Statistics
MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Annlzd Ret
Annlzd Risk
Sharpe Ratio
Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12
3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15
10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04
Statistical MeasuresLargest Drawdown - period
Largest Drawdown - -5095Largest Drawdown - of months 16
Recovery PeriodRecovery Duration 37
Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100
Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388
SampP 500
Nov-07 - Feb-09
Mar-09 - Mar-12
113 127 -145
Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24
326 277 -309
121 143 -88
26
-2509 -277 -42163 21 16
MLM 3x Credit Suisse 15 Vol 7030
Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09
Growth of $1 - Selected Indices
SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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
Calendar Year Returns
MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3
Rhode Island SIC Systematic Trend Following 19
The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations
bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities
bull MLM and Credit Suisse indices are highly correlated with one another
Correlations ndash various periods ending 93016
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026
Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082
SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -031 -033 MLM Index 3X -036 -036
Credit Suisse Index -027 -027 076 Credit Suisse Index -021 -021 066
1 Year Correlation 3 Year Correlation
10 Year Correlation5 Year Correlation
SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026
Credit Suisse Index -018 -016 066
20 Year Correlation
Rhode Island SIC Systematic Trend Following 20
Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)
Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced
Recommended RISIC Mandate Benchmark
Rhode Island SIC Systematic Trend Following 21
Due Diligence Plan Update Relating To STF and Platform Manager
Rhode Island SIC Systematic Trend Following 22
Due Diligence Process Outline Platform Manager
bull Provide a short list of platform implementation platform managers
Draft DDQ prepared to be issued
bull Send DDQ to short list platform managers
bull Conduct a review of platform managers DDQ responses - rate proposals
PCA and Rhode Island investment staff
bull Conduct onsite due diligence at platform managers offices in NYC
PCA and Rhode Island investment staff
bull Platform manager recommendation
PCA memo to SIC SIC interview recommended platform manager
Rhode Island SIC Systematic Trend Following 23
Due Diligence Process Outline STF Managers
bull Provide a short list of systematic trend following managers
bull Draft DDQ prepared to be issued
bull Send a DDQ to short list systematic trend following managers
bull Conduct a review of STF managers DDQ responses - rate proposals
bull PCA and Rhode Island investment staff
bull Systematic trend following managers recommendation
bull PCA memo to SIC
bull SIC interview recommended systematic trend following managers
Rhode Island SIC Systematic Trend Following 24
Other Implementation Crisis Risk OffsetSM Class Managers
Other bull Platform manager to conduct operational due diligence at recommended STF
Managerrsquos office
bull STF Managers hired contracting other administration 1Q 2017
bull Fund long-duration Fixed Income and systematic trend following accounts pari passu
bull Primary source of funds ndash Equity HF portfolio redemptions
Rhode Island SIC Systematic Trend Following 25
Appendix
Rhode Island SIC Systematic Trend Following 26
Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio
Line Strategic Class Trend
MLM 3x Index
TrendCS MF Index
1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30
10 Total 1000 1000
Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074
15 Best Year Worst Year 298 -208
306 -210
16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics
17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47
bull For modeling purposes both indices have same volatility assumptions
bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)
bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio
Rhode Island SIC Systematic Trend Following 27
Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index
1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086
-4000
-2000
000
2000
4000
6000
8000
10000
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Annual Modeled Returns
$0
$500
$1000
$1500
$2000
$2500
Growth of $100
MLM 3x Credit Suisse Managed Futures
Rhode Island SIC Systematic Trend Following 28
The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average
bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA
bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA
bull For each of the 18 different futures contracts (markets) total return index
- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)
- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)
bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short
Recommended Benchmark Index
Rhode Island SIC Systematic Trend Following 29
The Credit Suisse Managed Futures Indextrade Markets Traded
Rhode Island SIC Systematic Trend Following 30
bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded
The Credit Suisse Managed Futures Indextrade Risk Allocation
Rhode Island SIC Systematic Trend Following 31
Instruments Forwards
bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date
bull Over-the-counter instrument (ie customized have counterparty risk)
bull Different than an option in that both buyer and seller have obligations
bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)
bull Currency forwards can be more liquid than currency futures
Rhode Island SIC Systematic Trend Following 32
Instruments Futures
bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services
o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)
o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures
bull Extremely liquid instruments
bull Vast majority of futures contracts do not lead to delivery
bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)
Rhode Island SIC Systematic Trend Following 33
Futures Transaction Example
bull November crude oil contract (one contract = 1000 barrels of oil)
bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)
o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel
Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market
bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50
o Gain = ($50-$43) x 1000 = $7000
ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)
Gainslosses for shortsell positionare the opposite
Rhode Island SIC Systematic Trend Following 34
Leverage in Trend Following Strategies
bull Futures contain embedded leverage
bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x
bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)
bull Leveragerisk oversight is key component of strategy selection
bull Leverage protections Futures have daily price limits and daily settlement
o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement
Long and short positions partially offset leverage risks
Rhode Island SIC Systematic Trend Following 35
CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)
bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position
bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions
bull Minimum collateral requirements allow managers to apply leverage
bull Unlike typical leveraged situations collateral requirements re-set every day
bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters
bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades
bull In total across entire CROSM class hundreds of netted ls positions
Rhode Island SIC Systematic Trend Following 36
DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based
Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change
The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future
Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision
All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited
The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries
The MSCI indices are trademarks and service marks of MSCI or its subsidiaries
Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc
CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications
The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc
The Citigroup indices are trademarks of Citicorp or its affiliates
The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates
MLM Index 3X | Credit Suisse Index 15x | 7030 Portfolio | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | ||||||||||||
1995 | 0219 | 0228 | 0265 | 1995 | 0219 | 0313 | 0265 | ||||||||||
1996 | 0311 | 0264 | 0146 | 1996 | 0311 | 0364 | 0146 | ||||||||||
1997 | 0154 | 014 | 0219 | 1997 | 0154 | 0175 | 0219 | ||||||||||
1998 | 0406 | 0209 | 0197 | 1998 | 0406 | 0269 | 0197 | ||||||||||
1999 | 007 | 0066 | 0182 | 1999 | 007 | 0053 | 0182 | ||||||||||
2000 | 0211 | 0087 | -0056 | 2000 | 0211 | 0097 | -0056 | ||||||||||
2001 | 0004 | 007 | -0088 | 2001 | 0004 | 008 | -0088 | ||||||||||
2002 | 0151 | 0112 | -0138 | 2002 | 0151 | 0133 | -0138 | ||||||||||
2003 | 0226 | 0213 | 0247 | 2003 | 0226 | 0317 | 0247 | ||||||||||
2004 | 0146 | 0042 | 0114 | 2004 | 0146 | 005 | 0114 | ||||||||||
2005 | 005 | 0063 | 0069 | 2005 | 005 | 0074 | 0069 | ||||||||||
2006 | -008 | 0188 | 0151 | 2006 | -008 | 025 | 0151 | ||||||||||
2007 | -0009 | 0095 | 0075 | 2007 | -0009 | 0112 | 0075 | ||||||||||
2008 | 0379 | 023 | -0307 | 2008 | 0379 | 0344 | -0307 | ||||||||||
2009 | -0097 | 0009 | 0239 | 2009 | -0097 | 0012 | 0239 | ||||||||||
2010 | 0099 | 005 | 0135 | 2010 | 0099 | 0072 | 0135 | ||||||||||
2011 | 0134 | -0048 | 0002 | 2011 | 0134 | -0073 | 0002 | ||||||||||
2012 | -0172 | -008 | 0135 | 2012 | -0172 | -0119 | 0135 | ||||||||||
2013 | -0028 | 0075 | 0228 | 2013 | -0028 | 011 | 0228 | ||||||||||
2014 | 0253 | 0158 | 0091 | 2014 | 0253 | 0231 | 0091 | ||||||||||
2015 | 0091 | 0036 | -0002 | 2015 | 0091 | 0042 | -0002 | ||||||||||
Return | 110 | 101 | 80 | Return | 110 | 131 | 80 | ||||||||||
StDev | 153 | 93 | 146 | StDev | 153 | 134 | 146 | ||||||||||
Corr to 7030 | -023 | 005 | 100 | Corr to 7030 | -023 | 004 | 100 |
1 Year Correlation | 3 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -054 | -056 | MLM Index 3X | -023 | -026 | ||||||||||||||||||
Credit Suisse Index | -059 | -055 | 080 | Credit Suisse Index | -021 | -020 | 082 | ||||||||||||||||
5 Year Correlation | 10 Year Correlation | ||||||||||||||||||||||
SampP 500 | 7030 | MLM | SampP 500 | 7030 | MLM | ||||||||||||||||||
7030 Portfolio | 099 | 7030 Portfolio | 099 | ||||||||||||||||||||
MLM Index 3X | -031 | -033 | MLM Index 3X | -036 | -036 | ||||||||||||||||||
Credit Suisse Index | -027 | -027 | 076 | Credit Suisse Index | -021 | -021 | 066 | ||||||||||||||||
20 Year Correlation | |||||||||||||||||||||||
SampP 500 | 7030 | MLM | |||||||||||||||||||||
7030 Portfolio | 098 | ||||||||||||||||||||||
MLM Index 3X | -027 | -026 | |||||||||||||||||||||
Credit Suisse Index | -018 | -016 | 066 | ||||||||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 | ||||||||||||||||
SampP 500 Index | 1 | 099 | -054 | -059 | SampP 500 Index | 1 | 099 | -023 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -056 | -055 | 7030 Portfolio | 099 | 1 | -026 | -02 | ||||||||||||||
MLM Index 3X | -054 | -056 | 1 | 08 | MLM Index 3X | -023 | -026 | 1 | 082 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -059 | -055 | 08 | 1 | Credit Suisse MF Index 15 Vol | -021 | -02 | 082 | 1 | ||||||||||||||
Correlation to date | Correlation to date | ||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||
5 | 5 | 5 | 5 | 10 Years | 10 Years | 10 Years | 10 Years | ||||||||||||||||
SampP 500 Index | 1 | 099 | -031 | -027 | SampP 500 Index | 1 | 099 | -036 | -021 | ||||||||||||||
7030 Portfolio | 099 | 1 | -033 | -027 | 7030 Portfolio | 099 | 1 | -036 | -021 | ||||||||||||||
MLM Index 3X | -031 | -033 | 1 | 076 | MLM Index 3X | -036 | -036 | 1 | 066 | ||||||||||||||
Credit Suisse MF Index 15 Vol | -027 | -027 | 076 | 1 | Credit Suisse MF Index 15 Vol | -021 | -021 | 066 | 1 | ||||||||||||||
Correlation to date | |||||||||||||||||||||||
SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | ||||||||||||||||||||
5 | 5 | 5 | 5 | ||||||||||||||||||||
SampP 500 Index | 1 | 098 | -027 | -018 | |||||||||||||||||||
7030 Portfolio | 098 | 1 | -026 | -016 | |||||||||||||||||||
MLM Index 3X | -027 | -026 | 1 | 066 | |||||||||||||||||||
Credit Suisse MF Index 15 Vol | -018 | -016 | 066 | 1 |
MLM 3x | Credit Suisse 15 Vol | 7030 | SampP 500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | ||||||||||||||||||||||||||||||||||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
1 Year | 85 | 124 | 07 | 24 | 162 | 01 | 125 | 105 | 12 | 154 | 125 | 12 | |||||||||||||||||||||||||||||||||||||||||||
3 Years | 139 | 145 | 10 | 130 | 156 | 08 | 79 | 90 | 09 | 112 | 108 | 10 | |||||||||||||||||||||||||||||||||||||||||||
5 Years | 33 | 129 | 03 | 46 | 138 | 03 | 120 | 92 | 13 | 164 | 111 | 15 | SampP 500 Index | 7030 Portfolio | MLM Index 3X | Credit Suisse MF Index 15 Vol | |||||||||||||||||||||||||||||||||||||||
10 Years | 58 | 163 | 03 | 79 | 144 | 05 | 62 | 124 | 04 | 72 | 153 | 04 | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | Annualized Return to date | Annualized StdDev to date | MPT Statistics to date | |||||||||||||||||||||||||||||||
20 Years | 98 | 141 | 05 | 117 | 147 | 06 | 71 | 121 | 04 | 79 | 154 | 04 | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | Total | Total | Sharpe Ratio(g) | |||||||||||||||||||||||||||||||
1 Year | 1543 | 1246 | 122 | 1252 | 1052 | 116 | 846 | 1244 | 066 | 24 | 162 | 01 | |||||||||||||||||||||||||||||||||||||||||||
Statistical Measures | 3 Years | 1116 | 1083 | 102 | 792 | 897 | 087 | 1392 | 1446 | 095 | 130 | 156 | 08 | ||||||||||||||||||||||||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | Nov-07 - Feb-09 | 5 Years | 1637 | 1112 | 146 | 12 | 915 | 13 | 329 | 1288 | 025 | 46 | 138 | 03 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - | -2509 | -277 | -4216 | -5095 | 10 Years | 724 | 1525 | 041 | 621 | 1239 | 043 | 58 | 1627 | 03 | 79 | 144 | 05 | ||||||||||||||||||||||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | 16 | 20 Years | 791 | 1535 | 036 | 711 | 1212 | 039 | 977 | 1408 | 053 | 117 | 147 | 06 | ||||||||||||||||||||||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | Mar-09 - Mar-12 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | 37 | 00237 | 01617 | |||||||||||||||||||||||||||||||||||||||||||||||||
01298 | 0156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Crisis Period Returns | 00464 | 01383 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 143 | -88 | -100 | 00787 | 01439 | |||||||||||||||||||||||||||||||||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 127 | -145 | -206 | 01172 | 01466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 277 | -309 | -388 |
MLM | Credit Suisse | 7030 | |||||||||||||||||||
Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | Annlzd Ret | Annlzd Risk | Sharpe Ratio | |||||||||||||
Periods Ending 9302016 | |||||||||||||||||||||
1 Year | 85 | 124 | 07 | 14 | 90 | 01 | 125 | 105 | 12 | ||||||||||||
3 Years | 139 | 145 | 10 | 90 | 103 | 09 | 79 | 90 | 09 | ||||||||||||
5 Years | 33 | 129 | 03 | 35 | 92 | 04 | 120 | 92 | 13 | ||||||||||||
10 Years | 58 | 163 | 03 | 58 | 97 | 05 | 62 | 124 | 04 | ||||||||||||
20 Years | 98 | 141 | 05 | 91 | 100 | 07 | 71 | 121 | 04 | ||||||||||||
Statistical Measures | |||||||||||||||||||||
Largest Drawdown - period | Mar-09 - May-09 | Mar-11 - Nov-12 | Nov-07 - Feb-09 | ||||||||||||||||||
Largest Drawdown - | -2509 | -1486 | -4216 | ||||||||||||||||||
Largest Drawdown - of months | 3 | 21 | 16 | ||||||||||||||||||
Recovery Period | Jun-09 - Jul-11 | Dec-12 - Nov-14 | Mar-09 - Apr-11 | ||||||||||||||||||
Recovery Duration | 26 | 24 | 26 | ||||||||||||||||||
Full - history semi-deviation | 83 | 54 | 83 | ||||||||||||||||||
Full - history skewness | 03 | 02 | -08 | ||||||||||||||||||
Full- history kurtosis | 47 | -01 | 15 | ||||||||||||||||||
Crisis Period Returns | |||||||||||||||||||||
LTCMRussian Debt (July 98 - Sept 98) | 121 | 104 | -88 | ||||||||||||||||||
Tech Bubble (April 00 - Sept 02) | 113 | 157 | -145 | ||||||||||||||||||
Financial Crisis (Oct 07 - Feb 09) | 326 | 183 | -309 |
SampP 500 Index | MLM Index 3X woInt | Credit Suisse Index | 7030 Portfolio | ||||||||||||||||||||||
Return | Return | Return | Return | ||||||||||||||||||||||
Total | Total | Total | Total | ||||||||||||||||||||||
Jan-73 | -149 | NA | NA | NA | |||||||||||||||||||||
Feb-73 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-73 | 009 | NA | NA | NA | |||||||||||||||||||||
Apr-73 | -384 | NA | NA | NA | |||||||||||||||||||||
May-73 | -164 | NA | NA | NA | |||||||||||||||||||||
Jun-73 | -04 | NA | NA | NA | |||||||||||||||||||||
Jul-73 | 406 | NA | NA | NA | |||||||||||||||||||||
Aug-73 | -342 | NA | NA | NA | |||||||||||||||||||||
Sep-73 | 427 | NA | NA | NA | |||||||||||||||||||||
Oct-73 | 013 | NA | NA | NA | |||||||||||||||||||||
Nov-73 | -1112 | NA | NA | NA | |||||||||||||||||||||
Dec-73 | 196 | NA | NA | NA | |||||||||||||||||||||
Jan-74 | -071 | NA | NA | NA | |||||||||||||||||||||
Feb-74 | -005 | NA | NA | NA | |||||||||||||||||||||
Mar-74 | -202 | NA | NA | NA | |||||||||||||||||||||
Apr-74 | -359 | NA | NA | NA | |||||||||||||||||||||
May-74 | -302 | NA | NA | NA | |||||||||||||||||||||
Jun-74 | -112 | NA | NA | NA | |||||||||||||||||||||
Jul-74 | -742 | NA | NA | NA | |||||||||||||||||||||
Aug-74 | -864 | NA | NA | NA | |||||||||||||||||||||
Sep-74 | -115 | NA | NA | NA | |||||||||||||||||||||
Oct-74 | 168 | NA | NA | NA | |||||||||||||||||||||
Nov-74 | -49 | NA | NA | NA | |||||||||||||||||||||
Dec-74 | -158 | NA | NA | NA | |||||||||||||||||||||
Jan-75 | 1273 | NA | NA | NA | |||||||||||||||||||||
Feb-75 | 639 | NA | NA | NA | |||||||||||||||||||||
Mar-75 | 255 | NA | NA | NA | |||||||||||||||||||||
Apr-75 | 509 | NA | NA | NA | |||||||||||||||||||||
May-75 | 476 | NA | NA | NA | |||||||||||||||||||||
Jun-75 | 477 | NA | NA | NA | |||||||||||||||||||||
Jul-75 | -644 | NA | NA | NA | |||||||||||||||||||||
Aug-75 | -176 | NA | NA | NA | |||||||||||||||||||||
Sep-75 | -311 | NA | NA | NA | |||||||||||||||||||||
Oct-75 | 654 | NA | NA | NA | |||||||||||||||||||||
Nov-75 | 281 | NA | NA | NA | |||||||||||||||||||||
Dec-75 | -082 | NA | NA | NA | |||||||||||||||||||||
Jan-76 | 1217 | NA | NA | NA | |||||||||||||||||||||
Feb-76 | -084 | NA | NA | NA | |||||||||||||||||||||
Mar-76 | 338 | NA | NA | NA | |||||||||||||||||||||
Apr-76 | -08 | NA | NA | NA | |||||||||||||||||||||
May-76 | -112 | NA | NA | NA | |||||||||||||||||||||
Jun-76 | 441 | NA | NA | NA | |||||||||||||||||||||
Jul-76 | -05 | NA | NA | NA | |||||||||||||||||||||
Aug-76 | -02 | NA | NA | NA | |||||||||||||||||||||
Sep-76 | 258 | NA | NA | NA | |||||||||||||||||||||
Oct-76 | -191 | NA | NA | NA | |||||||||||||||||||||
Nov-76 | -045 | NA | NA | NA | |||||||||||||||||||||
Dec-76 | 558 | NA | NA | NA | |||||||||||||||||||||
Jan-77 | -473 | NA | NA | NA | |||||||||||||||||||||
Feb-77 | -182 | NA | NA | NA | |||||||||||||||||||||
Mar-77 | -104 | NA | NA | NA | |||||||||||||||||||||
Apr-77 | 038 | NA | NA | NA | |||||||||||||||||||||
May-77 | -198 | NA | NA | NA | |||||||||||||||||||||
Jun-77 | 493 | NA | NA | NA | |||||||||||||||||||||
Jul-77 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-77 | -172 | NA | NA | NA | |||||||||||||||||||||
Sep-77 | 015 | NA | NA | NA | |||||||||||||||||||||
Oct-77 | -394 | NA | NA | NA | |||||||||||||||||||||
Nov-77 | 312 | NA | NA | NA | |||||||||||||||||||||
Dec-77 | 071 | NA | NA | NA | |||||||||||||||||||||
Jan-78 | -573 | NA | NA | NA | |||||||||||||||||||||
Feb-78 | -202 | NA | NA | NA | |||||||||||||||||||||
Mar-78 | 297 | NA | NA | NA | |||||||||||||||||||||
Apr-78 | 901 | NA | NA | NA | |||||||||||||||||||||
May-78 | 086 | NA | NA | NA | |||||||||||||||||||||
Jun-78 | -132 | NA | NA | NA | |||||||||||||||||||||
Jul-78 | 584 | NA | NA | NA | |||||||||||||||||||||
Aug-78 | 302 | NA | NA | NA | |||||||||||||||||||||
Sep-78 | -031 | NA | NA | NA | |||||||||||||||||||||
Oct-78 | -874 | NA | NA | NA | |||||||||||||||||||||
Nov-78 | 213 | NA | NA | NA | |||||||||||||||||||||
Dec-78 | 194 | NA | NA | NA | |||||||||||||||||||||
Jan-79 | 443 | NA | NA | NA | |||||||||||||||||||||
Feb-79 | -321 | NA | NA | NA | |||||||||||||||||||||
Mar-79 | 598 | NA | NA | NA | |||||||||||||||||||||
Apr-79 | 061 | NA | NA | NA | |||||||||||||||||||||
May-79 | -218 | NA | NA | NA | |||||||||||||||||||||
Jun-79 | 434 | NA | NA | NA | |||||||||||||||||||||
Jul-79 | 133 | NA | NA | NA | |||||||||||||||||||||
Aug-79 | 576 | NA | NA | NA | |||||||||||||||||||||
Sep-79 | 044 | NA | NA | NA | |||||||||||||||||||||
Oct-79 | -639 | NA | NA | NA | |||||||||||||||||||||
Nov-79 | 472 | NA | NA | NA | |||||||||||||||||||||
Dec-79 | 22 | NA | NA | NA | |||||||||||||||||||||
Jan-80 | 621 | NA | NA | NA | |||||||||||||||||||||
Feb-80 | -001 | NA | NA | NA | |||||||||||||||||||||
Mar-80 | -975 | NA | NA | NA | |||||||||||||||||||||
Apr-80 | 462 | NA | NA | NA | |||||||||||||||||||||
May-80 | 515 | NA | NA | NA | |||||||||||||||||||||
Jun-80 | 316 | NA | NA | NA | |||||||||||||||||||||
Jul-80 | 696 | NA | NA | NA | |||||||||||||||||||||
Aug-80 | 101 | NA | NA | NA | |||||||||||||||||||||
Sep-80 | 294 | NA | NA | NA | |||||||||||||||||||||
Oct-80 | 202 | NA | NA | NA | |||||||||||||||||||||
Nov-80 | 1065 | NA | NA | NA | |||||||||||||||||||||
Dec-80 | -301 | NA | NA | NA | |||||||||||||||||||||
Jan-81 | -42 | NA | NA | NA | |||||||||||||||||||||
Feb-81 | 172 | NA | NA | NA | |||||||||||||||||||||
Mar-81 | 399 | NA | NA | NA | |||||||||||||||||||||
Apr-81 | -194 | NA | NA | NA | |||||||||||||||||||||
May-81 | 025 | NA | NA | NA | |||||||||||||||||||||
Jun-81 | -062 | NA | NA | NA | |||||||||||||||||||||
Jul-81 | 021 | NA | NA | NA | |||||||||||||||||||||
Aug-81 | -578 | NA | NA | NA | |||||||||||||||||||||
Sep-81 | -492 | NA | NA | NA | |||||||||||||||||||||
Oct-81 | 54 | NA | NA | NA | |||||||||||||||||||||
Nov-81 | 412 | NA | NA | NA | |||||||||||||||||||||
Dec-81 | -256 | NA | NA | NA | |||||||||||||||||||||
Jan-82 | -13 | NA | NA | NA | |||||||||||||||||||||
Feb-82 | -559 | NA | NA | NA | |||||||||||||||||||||
Mar-82 | -052 | NA | NA | NA | |||||||||||||||||||||
Apr-82 | 452 | NA | NA | NA | |||||||||||||||||||||
May-82 | -341 | NA | NA | NA | |||||||||||||||||||||
Jun-82 | -15 | NA | NA | NA | |||||||||||||||||||||
Jul-82 | -177 | NA | NA | NA | |||||||||||||||||||||
Aug-82 | 1214 | NA | NA | NA | |||||||||||||||||||||
Sep-82 | 124 | NA | NA | NA | |||||||||||||||||||||
Oct-82 | 1151 | NA | NA | NA | |||||||||||||||||||||
Nov-82 | 404 | NA | NA | NA | |||||||||||||||||||||
Dec-82 | 193 | NA | NA | NA | |||||||||||||||||||||
Jan-83 | 372 | NA | NA | NA | |||||||||||||||||||||
Feb-83 | 229 | NA | NA | NA | |||||||||||||||||||||
Mar-83 | 369 | NA | NA | NA | |||||||||||||||||||||
Apr-83 | 788 | NA | NA | NA | |||||||||||||||||||||
May-83 | -087 | NA | NA | NA | |||||||||||||||||||||
Jun-83 | 389 | NA | NA | NA | |||||||||||||||||||||
Jul-83 | -295 | NA | NA | NA | |||||||||||||||||||||
Aug-83 | 15 | NA | NA | NA | |||||||||||||||||||||
Sep-83 | 138 | NA | NA | NA | |||||||||||||||||||||
Oct-83 | -116 | NA | NA | NA | |||||||||||||||||||||
Nov-83 | 211 | NA | NA | NA | |||||||||||||||||||||
Dec-83 | -052 | NA | NA | NA | |||||||||||||||||||||
Jan-84 | -056 | NA | NA | NA | |||||||||||||||||||||
Feb-84 | -352 | NA | NA | NA | |||||||||||||||||||||
Mar-84 | 173 | NA | NA | NA | |||||||||||||||||||||
Apr-84 | 092 | NA | NA | NA | |||||||||||||||||||||
May-84 | -556 | NA | NA | NA | |||||||||||||||||||||
Jun-84 | 214 | NA | NA | NA | |||||||||||||||||||||
Jul-84 | -124 | NA | NA | NA | |||||||||||||||||||||
Aug-84 | 1104 | NA | NA | NA | |||||||||||||||||||||
Sep-84 | 002 | NA | NA | NA | |||||||||||||||||||||
Oct-84 | 038 | NA | NA | NA | |||||||||||||||||||||
Nov-84 | -112 | NA | NA | NA | |||||||||||||||||||||
Dec-84 | 264 | NA | NA | NA | |||||||||||||||||||||
Jan-85 | 779 | NA | NA | NA | |||||||||||||||||||||
Feb-85 | 123 | NA | NA | NA | |||||||||||||||||||||
Mar-85 | 006 | NA | NA | NA | |||||||||||||||||||||
Apr-85 | -009 | NA | NA | NA | |||||||||||||||||||||
May-85 | 578 | NA | NA | NA | |||||||||||||||||||||
Jun-85 | 157 | NA | NA | NA | |||||||||||||||||||||
Jul-85 | -014 | NA | NA | NA | |||||||||||||||||||||
Aug-85 | -086 | NA | NA | NA | |||||||||||||||||||||
Sep-85 | -313 | NA | NA | NA | |||||||||||||||||||||
Oct-85 | 462 | NA | NA | NA | |||||||||||||||||||||
Nov-85 | 686 | NA | NA | NA | |||||||||||||||||||||
Dec-85 | 484 | NA | NA | NA | |||||||||||||||||||||
Jan-86 | 056 | NA | NA | NA | |||||||||||||||||||||
Feb-86 | 747 | NA | NA | NA | |||||||||||||||||||||
Mar-86 | 558 | NA | NA | NA | |||||||||||||||||||||
Apr-86 | -113 | NA | NA | NA | |||||||||||||||||||||
May-86 | 532 | NA | NA | NA | |||||||||||||||||||||
Jun-86 | 169 | NA | NA | NA | |||||||||||||||||||||
Jul-86 | -559 | NA | NA | NA | |||||||||||||||||||||
Aug-86 | 741 | NA | NA | NA | |||||||||||||||||||||
Sep-86 | -827 | NA | NA | NA | |||||||||||||||||||||
Oct-86 | 577 | NA | NA | NA | |||||||||||||||||||||
Nov-86 | 243 | NA | NA | NA | |||||||||||||||||||||
Dec-86 | -255 | NA | NA | NA | |||||||||||||||||||||
Jan-87 | 1347 | NA | NA | NA | |||||||||||||||||||||
Feb-87 | 395 | NA | NA | NA | |||||||||||||||||||||
Mar-87 | 289 | NA | NA | NA | |||||||||||||||||||||
Apr-87 | -089 | NA | NA | NA | |||||||||||||||||||||
May-87 | 087 | NA | NA | NA | |||||||||||||||||||||
Jun-87 | 505 | NA | NA | NA | |||||||||||||||||||||
Jul-87 | 507 | NA | NA | NA | |||||||||||||||||||||
Aug-87 | 373 | NA | NA | NA | |||||||||||||||||||||
Sep-87 | -219 | NA | NA | NA | |||||||||||||||||||||
Oct-87 | -2153 | NA | NA | NA | |||||||||||||||||||||
Nov-87 | -824 | NA | NA | NA | |||||||||||||||||||||
Dec-87 | 761 | NA | NA | NA | |||||||||||||||||||||
Jan-88 | 421 | NA | NA | 349 | |||||||||||||||||||||
Feb-88 | 466 | NA | NA | 436 | |||||||||||||||||||||
Mar-88 | -309 | NA | NA | 036 | |||||||||||||||||||||
Apr-88 | 11 | NA | NA | 066 | |||||||||||||||||||||
May-88 | 086 | NA | NA | -09 | |||||||||||||||||||||
Jun-88 | 458 | NA | NA | 252 | |||||||||||||||||||||
Jul-88 | -038 | NA | NA | 02 | |||||||||||||||||||||
Aug-88 | -34 | NA | NA | -286 | |||||||||||||||||||||
Sep-88 | 425 | NA | NA | 359 | |||||||||||||||||||||
Oct-88 | 282 | NA | NA | 344 | |||||||||||||||||||||
Nov-88 | -143 | NA | NA | 034 | |||||||||||||||||||||
Dec-88 | 174 | NA | NA | 116 | |||||||||||||||||||||
Jan-89 | 731 | NA | NA | 398 | |||||||||||||||||||||
Feb-89 | -248 | NA | NA | -089 | |||||||||||||||||||||
Mar-89 | 232 | NA | NA | 07 | |||||||||||||||||||||
Apr-89 | 52 | NA | NA | 323 | |||||||||||||||||||||
May-89 | 405 | NA | NA | 14 | |||||||||||||||||||||
Jun-89 | -057 | NA | NA | 004 | |||||||||||||||||||||
Jul-89 | 903 | NA | NA | 742 | |||||||||||||||||||||
Aug-89 | 195 | NA | NA | -04 | |||||||||||||||||||||
Sep-89 | -041 | NA | NA | 113 | |||||||||||||||||||||
Oct-89 | -232 | NA | NA | -171 | |||||||||||||||||||||
Nov-89 | 204 | NA | NA | 23 | |||||||||||||||||||||
Dec-89 | 24 | NA | NA | 194 | |||||||||||||||||||||
Jan-90 | -671 | NA | NA | -478 | |||||||||||||||||||||
Feb-90 | 13 | NA | NA | -08 | |||||||||||||||||||||
Mar-90 | 264 | NA | NA | -117 | |||||||||||||||||||||
Apr-90 | -249 | NA | NA | -177 | |||||||||||||||||||||
May-90 | 975 | NA | NA | 786 | |||||||||||||||||||||
Jun-90 | -067 | NA | NA | -001 | |||||||||||||||||||||
Jul-90 | -032 | NA | NA | 019 | |||||||||||||||||||||
Aug-90 | -904 | NA | NA | -722 | |||||||||||||||||||||
Sep-90 | -487 | NA | NA | -53 | |||||||||||||||||||||
Oct-90 | -043 | NA | NA | 295 | |||||||||||||||||||||
Nov-90 | 646 | NA | NA | 26 | |||||||||||||||||||||
Dec-90 | 279 | NA | NA | 235 | |||||||||||||||||||||
Jan-91 | 435 | NA | NA | 348 | |||||||||||||||||||||
Feb-91 | 715 | NA | NA | 62 | |||||||||||||||||||||
Mar-91 | 242 | NA | NA | 049 | |||||||||||||||||||||
Apr-91 | 024 | NA | NA | 058 | |||||||||||||||||||||
May-91 | 431 | NA | NA | 257 | |||||||||||||||||||||
Jun-91 | -458 | NA | NA | -379 | |||||||||||||||||||||
Jul-91 | 466 | NA | NA | 377 | |||||||||||||||||||||
Aug-91 | 237 | NA | NA | 166 | |||||||||||||||||||||
Sep-91 | -167 | NA | NA | 095 | |||||||||||||||||||||
Oct-91 | 134 | NA | NA | 152 | |||||||||||||||||||||
Nov-91 | -403 | NA | NA | -26 | |||||||||||||||||||||
Dec-91 | 1144 | NA | NA | 76 | |||||||||||||||||||||
Jan-92 | -186 | -50186134107 | NA | -101 | |||||||||||||||||||||
Feb-92 | 13 | -11806985257 | NA | 03 | |||||||||||||||||||||
Mar-92 | -194 | -34682100213 | NA | -245 | |||||||||||||||||||||
Apr-92 | 294 | 04856690806 | NA | 135 | |||||||||||||||||||||
May-92 | 049 | 36691977834 | NA | 196 | |||||||||||||||||||||
Jun-92 | -149 | 3995994645 | NA | -144 | |||||||||||||||||||||
Jul-92 | 409 | 58382478439 | NA | 241 | |||||||||||||||||||||
Aug-92 | -205 | 21392596519 | NA | 003 | |||||||||||||||||||||
Sep-92 | 118 | -10417441781 | NA | 069 | |||||||||||||||||||||
Oct-92 | 035 | -11426309261 | NA | -063 | |||||||||||||||||||||
Nov-92 | 34 | -24243841368 | NA | 231 | |||||||||||||||||||||
Dec-92 | 123 | 03309287484 | NA | 157 | |||||||||||||||||||||
Jan-93 | 084 | 12125566229 | NA | 109 | |||||||||||||||||||||
Feb-93 | 136 | 59842293696 | NA | 136 | |||||||||||||||||||||
Mar-93 | 211 | -06484088187 | NA | 282 | |||||||||||||||||||||
Apr-93 | -242 | 09183032136 | NA | 027 | |||||||||||||||||||||
May-93 | 268 | -00124707027 | NA | 196 | |||||||||||||||||||||
Jun-93 | 029 | 75565231659 | NA | 064 | |||||||||||||||||||||
Jul-93 | -04 | 34694235802 | NA | 068 | |||||||||||||||||||||
Aug-93 | 379 | 26998187389 | NA | 356 | |||||||||||||||||||||
Sep-93 | -077 | -35544940483 | NA | -032 | |||||||||||||||||||||
Oct-93 | 207 | 12906000348 | NA | 154 | |||||||||||||||||||||
Nov-93 | -095 | 39231376084 | NA | -251 | |||||||||||||||||||||
Dec-93 | 121 | 23140907663 | NA | 262 | |||||||||||||||||||||
Jan-94 | 34 | -16392143954 | NA | 357 | |||||||||||||||||||||
Feb-94 | -271 | -5375365439 | NA | -19 | |||||||||||||||||||||
Mar-94 | -436 | -17526970615 | NA | -389 | |||||||||||||||||||||
Apr-94 | 128 | -31042584129 | NA | 106 | |||||||||||||||||||||
May-94 | 164 | 21687630069 | NA | 058 | |||||||||||||||||||||
Jun-94 | -245 | -02802505425 | NA | -136 | |||||||||||||||||||||
Jul-94 | 328 | -09170406074 | NA | 249 | |||||||||||||||||||||
Aug-94 | 41 | 03148132864 | NA | 3 | |||||||||||||||||||||
Sep-94 | -245 | 49091708791 | NA | -203 | |||||||||||||||||||||
Oct-94 | 225 | 33710507687 | NA | 14 | |||||||||||||||||||||
Nov-94 | -364 | -02736669026 | NA | -3 | SampP 500 Index | MLM Index 3X | Credit Suisse Index 15 Vol | 7030 Portfolio | |||||||||||||||||
Dec-94 | 148 | 11635880505 | NA | 095 | Dec-94 | 100 | 100 | 100 | 100 | ||||||||||||||||
Jan-95 | 259 | 1488846469 | 18462 | 078 | Jan-95 | 103 | 101 | 102 | 101 | ||||||||||||||||
Feb-95 | 39 | 18245801927 | -04746 | 274 | Feb-95 | 107 | 103 | 101 | 104 | ||||||||||||||||
Mar-95 | 295 | 37741988604 | 70854 | 257 | Mar-95 | 110 | 107 | 109 | 106 | ||||||||||||||||
Apr-95 | 294 | 20196669281 | 31179 | 254 | Apr-95 | 113 | 109 | 112 | 109 | ||||||||||||||||
May-95 | 4 | 4438151788 | 78944 | 291 | May-95 | 117 | 114 | 121 | 112 | ||||||||||||||||
Jun-95 | 232 | 15287989065 | -04753 | 152 | Jun-95 | 120 | 116 | 120 | 114 | ||||||||||||||||
Jul-95 | 332 | -14769041128 | -2252 | 32 | Jul-95 | 124 | 114 | 117 | 117 | ||||||||||||||||
Aug-95 | 025 | -36439459991 | -31269 | 016 | Aug-95 | 125 | 110 | 114 | 118 | ||||||||||||||||
Sep-95 | 422 | 05926567612 | 39491 | 274 | Sep-95 | 130 | 111 | 118 | 121 | ||||||||||||||||
Oct-95 | -036 | 2635846499 | 25163 | -064 | Oct-95 | 129 | 114 | 121 | 120 | ||||||||||||||||
Nov-95 | 439 | 27162162082 | 33589 | 332 | Nov-95 | 135 | 117 | 125 | 124 | ||||||||||||||||
Dec-95 | 193 | 4331305919 | 47021 | 198 | Dec-95 | 138 | 122 | 131 | 126 | ||||||||||||||||
Jan-96 | 34 | 19634168588 | 54269 | 207 | Jan-96 | 142 | 124 | 138 | 129 | ||||||||||||||||
Feb-96 | 093 | -13857157749 | -37777 | 042 | Feb-96 | 144 | 123 | 133 | 130 | ||||||||||||||||
Mar-96 | 096 | 3570816298 | 36706 | 074 | Mar-96 | 145 | 127 | 138 | 131 | ||||||||||||||||
Apr-96 | 147 | 47035792726 | 48573 | 151 | Apr-96 | 147 | 133 | 145 | 133 | ||||||||||||||||
May-96 | 258 | 04897246276 | -23907 | 119 | May-96 | 151 | 134 | 141 | 134 | ||||||||||||||||
Jun-96 | 038 | 04231657395 | 28546 | 021 | Jun-96 | 151 | 134 | 145 | 134 | ||||||||||||||||
Jul-96 | -442 | -32825387444 | -5322 | -362 | Jul-96 | 145 | 130 | 138 | 130 | ||||||||||||||||
Aug-96 | 211 | 50232432929 | 29044 | 183 | Aug-96 | 148 | 136 | 142 | 132 | ||||||||||||||||
Sep-96 | 563 | 54206924649 | 82056 | 405 | Sep-96 | 156 | 144 | 153 | 137 | ||||||||||||||||
Oct-96 | 276 | 51159466491 | 83507 | 144 | Oct-96 | 160 | 151 | 166 | 139 | ||||||||||||||||
Nov-96 | 756 | 43728165918 | 864 | 527 | Nov-96 | 173 | 158 | 180 | 147 | ||||||||||||||||
Dec-96 | -198 | 14093703517 | -07113 | -113 | Dec-96 | 169 | 160 | 179 | 145 | ||||||||||||||||
Jan-97 | 625 | 17011191838 | -16167 | 314 | Jan-97 | 180 | 162 | 176 | 150 | ||||||||||||||||
Feb-97 | 078 | -17477703643 | -15622 | 041 | Feb-97 | 181 | 160 | 173 | 150 | ||||||||||||||||
Mar-97 | -411 | -0910181567 | 12022 | -309 | Mar-97 | 174 | 158 | 175 | 145 | ||||||||||||||||
Apr-97 | 597 | 09232176853 | 15126 | 349 | Apr-97 | 184 | 160 | 178 | 151 | ||||||||||||||||
May-97 | 609 | -06805906276 | 09263 | 543 | May-97 | 195 | 159 | 180 | 159 | ||||||||||||||||
Jun-97 | 448 | 14017438969 | -08095 | 375 | Jun-97 | 204 | 161 | 178 | 165 | ||||||||||||||||
Jul-97 | 796 | 41579104051 | 60499 | 584 | Jul-97 | 220 | 167 | 189 | 174 | ||||||||||||||||
Aug-97 | -56 | -24491709033 | -58848 | -401 | Aug-97 | 208 | 163 | 178 | 167 | ||||||||||||||||
Sep-97 | 548 | 23206853381 | 65934 | 476 | Sep-97 | 219 | 167 | 190 | 175 | ||||||||||||||||
Oct-97 | -334 | 3155194786 | 26194 | -317 | Oct-97 | 212 | 172 | 195 | 170 | ||||||||||||||||
Nov-97 | 463 | 1734137994 | 34076 | 24 | Nov-97 | 222 | 175 | 201 | 174 | ||||||||||||||||
Dec-97 | 172 | 50839377232 | 45191 | 168 | Dec-97 | 226 | 184 | 210 | 177 | ||||||||||||||||
Jan-98 | 111 | -0540706989 | 01984 | 101 | Jan-98 | 228 | 183 | 211 | 178 | ||||||||||||||||
Feb-98 | 721 | 40902523842 | 09547 | 561 | Feb-98 | 245 | 191 | 213 | 189 | ||||||||||||||||
Mar-98 | 512 | 4564059454 | 36725 | 385 | Mar-98 | 257 | 200 | 221 | 196 | ||||||||||||||||
Apr-98 | 101 | 10197007162 | 2729 | 086 | Apr-98 | 260 | 202 | 227 | 197 | ||||||||||||||||
May-98 | -172 | 66464318242 | 49967 | -174 | May-98 | 255 | 215 | 238 | 194 | ||||||||||||||||
Jun-98 | 406 | 14535097859 | 12227 | 237 | Jun-98 | 266 | 218 | 241 | 199 | ||||||||||||||||
Jul-98 | -106 | 79600070571 | 25845 | -106 | 143 | Jul-98 | 263 | 235 | 247 | 197 | |||||||||||||||
Aug-98 | -1446 | 85969949752 | 100188 | -1191 | Aug-98 | 225 | 256 | 272 | 173 | ||||||||||||||||
Sep-98 | 641 | -43471273323 | 13057 | 462 | Sep-98 | 239 | 245 | 275 | 181 | ||||||||||||||||
Oct-98 | 813 | -21914686666 | -48215 | 62 | Oct-98 | 259 | 239 | 262 | 192 | ||||||||||||||||
Nov-98 | 606 | 35427775078 | -16838 | 49 | Nov-98 | 274 | 248 | 258 | 202 | ||||||||||||||||
Dec-98 | 576 | 46223079694 | 36184 | 48 | Dec-98 | 290 | 259 | 267 | 211 | ||||||||||||||||
Jan-99 | 418 | 11652083769 | -13599 | 243 | Jan-99 | 302 | 262 | 263 | 217 | ||||||||||||||||
Feb-99 | -311 | 08705260303 | -29127 | -306 | Feb-99 | 293 | 264 | 256 | 210 | ||||||||||||||||
Mar-99 | 4 | -66775958823 | -24295 | 326 | Mar-99 | 305 | 247 | 250 | 217 | ||||||||||||||||
Apr-99 | 387 | 22077437514 | 51823 | 383 | Apr-99 | 316 | 252 | 263 | 225 | ||||||||||||||||
May-99 | -236 | 05593377297 | -19638 | -207 | May-99 | 309 | 254 | 257 | 220 | ||||||||||||||||
Jun-99 | 555 | 0821055256 | 43706 | 406 | Jun-99 | 326 | 256 | 269 | 229 | ||||||||||||||||
Jul-99 | -312 | -05417097185 | 00435 | -19 | Jul-99 | 316 | 254 | 269 | 225 | ||||||||||||||||
Aug-99 | -049 | 12651757883 | 01021 | -075 | Aug-99 | 314 | 258 | 269 | 223 | ||||||||||||||||
Sep-99 | -274 | 24672781685 | 05889 | -147 | Sep-99 | 306 | 264 | 271 | 220 | ||||||||||||||||
Oct-99 | 633 | -17330628613 | -47866 | 486 | Oct-99 | 325 | 259 | 258 | 231 | ||||||||||||||||
Nov-99 | 203 | 37710155755 | 29817 | 248 | Nov-99 | 332 | 269 | 265 | 236 | ||||||||||||||||
Dec-99 | 589 | 30182108515 | 60293 | 568 | Dec-99 | 351 | 277 | 281 | 250 | ||||||||||||||||
Jan-00 | -502 | 24897212667 | -25282 | -359 | Jan-00 | 334 | 284 | 274 | 241 | ||||||||||||||||
Feb-00 | -189 | -05713037029 | 10256 | 122 | Feb-00 | 327 | 283 | 277 | 244 | ||||||||||||||||
Mar-00 | 978 | -24716293218 | -3378 | 621 | Mar-00 | 359 | 276 | 268 | 259 | ||||||||||||||||
Apr-00 | -301 | 03990582414 | -22613 | -331 | 1573 | Apr-00 | 348 | 277 | 262 | 250 | |||||||||||||||
May-00 | -205 | 24192880579 | 0877 | -232 | May-00 | 341 | 283 | 264 | 245 | ||||||||||||||||
Jun-00 | 247 | 0878887186 | -34187 | 3 | Jun-00 | 350 | 286 | 255 | 252 | ||||||||||||||||
Jul-00 | -156 | 24260079771 | 12301 | -165 | Jul-00 | 344 | 293 | 258 | 248 | ||||||||||||||||
Aug-00 | 621 | 75396102385 | 45179 | 559 | Aug-00 | 366 | 315 | 270 | 262 | ||||||||||||||||
Sep-00 | -528 | 09222855204 | 04031 | -385 | Sep-00 | 346 | 318 | 271 | 252 | ||||||||||||||||
Oct-00 | -042 | 299852918 | 44133 | -131 | Oct-00 | 345 | 327 | 283 | 248 | ||||||||||||||||
Nov-00 | -788 | 5315579778 | 110553 | -68 | Nov-00 | 318 | 345 | 314 | 231 | ||||||||||||||||
Dec-00 | 049 | -25942802121 | -17463 | 193 | Dec-00 | 319 | 336 | 308 | 236 | ||||||||||||||||
1-Jan | 355 | -00863561154 | -04261 | 284 | Jan-01 | 331 | 335 | 307 | 243 | ||||||||||||||||
1-Feb | -912 | 16209515233 | 74179 | -716 | Feb-01 | 300 | 341 | 330 | 225 | ||||||||||||||||
1-Mar | -633 | 48299554873 | 94097 | -52 | Mar-01 | 281 | 357 | 361 | 213 | ||||||||||||||||
1-Apr | 777 | -43323517245 | -65179 | 61 | Apr-01 | 303 | 342 | 337 | 227 | ||||||||||||||||
1-May | 067 | 24991627761 | 11086 | 031 | May-01 | 305 | 350 | 341 | 227 | ||||||||||||||||
1-Jun | -243 | -01569851257 | 00543 | -165 | Jun-01 | 298 | 350 | 341 | 223 | ||||||||||||||||
1-Jul | -098 | -21829671963 | -05079 | -093 | Jul-01 | 295 | 342 | 340 | 221 | ||||||||||||||||
1-Aug | -626 | -26070979092 | 17884 | -404 | Aug-01 | 276 | 333 | 346 | 212 | ||||||||||||||||
1-Sep | -808 | 10636654952 | 60561 | -685 | Sep-01 | 254 | 337 | 367 | 198 | ||||||||||||||||
1-Oct | 191 | 09408124501 | 22528 | 233 | Oct-01 | 259 | 340 | 375 | 203 | ||||||||||||||||
1-Nov | 767 | -16137664028 | -837 | 519 | Nov-01 | 279 | 334 | 344 | 213 | ||||||||||||||||
1-Dec | 088 | 07970479005 | -2992 | 094 | Dec-01 | 281 | 337 | 333 | 215 | ||||||||||||||||
2-Jan | -146 | 01132698972 | -26759 | -115 | Jan-02 | 277 | 338 | 324 | 213 | ||||||||||||||||
2-Feb | -193 | -02410246265 | -26221 | -106 | Feb-02 | 272 | 337 | 316 | 210 | ||||||||||||||||
2-Mar | 376 | -64656658879 | -37678 | 312 | Mar-02 | 282 | 315 | 304 | 217 | ||||||||||||||||
2-Apr | -606 | 01559405489 | -06737 | -3 | Apr-02 | 265 | 315 | 302 | 210 | ||||||||||||||||
2-May | -074 | 19425675286 | 49554 | -043 | May-02 | 263 | 322 | 317 | 209 | ||||||||||||||||
2-Jun | -712 | 46154392532 | 59609 | -498 | Jun-02 | 244 | 336 | 336 | 199 | ||||||||||||||||
2-Jul | -78 | -09755577412 | 44704 | -592 | Jul-02 | 225 | 333 | 351 | 187 | ||||||||||||||||
2-Aug | 066 | 36669673432 | 29178 | 074 | Aug-02 | 227 | 345 | 361 | 189 | ||||||||||||||||
2-Sep | -1087 | 42995914132 | 68228 | -728 | Sep-02 | 202 | 360 | 386 | 175 | ||||||||||||||||
2-Oct | 88 | -18586716944 | -39428 | 521 | Oct-02 | 220 | 354 | 370 | 184 | ||||||||||||||||
2-Nov | 589 | -06691963741 | -43217 | 423 | Nov-02 | 233 | 351 | 354 | 192 | ||||||||||||||||
2-Dec | -587 | 10504712371 | 65168 | -333 | Dec-02 | 219 | 388 | 377 | 185 | ||||||||||||||||
3-Jan | -262 | 79413180181 | 78029 | -186 | Jan-03 | 213 | 419 | 407 | 182 | ||||||||||||||||
3-Feb | -15 | 5839796145 | 24675 | -082 | Feb-03 | 210 | 443 | 417 | 180 | ||||||||||||||||
3-Mar | 097 | -4822187841 | -49263 | 039 | Mar-03 | 212 | 422 | 396 | 181 | ||||||||||||||||
3-Apr | 824 | 08044165566 | 01717 | 619 | Apr-03 | 230 | 425 | 397 | 192 | ||||||||||||||||
3-May | 527 | 86017617168 | 75621 | 492 | May-03 | 242 | 462 | 427 | 202 | ||||||||||||||||
3-Jun | 128 | -16232843116 | -23723 | 11 | Jun-03 | 245 | 454 | 417 | 204 | ||||||||||||||||
3-Jul | 176 | -58470688666 | -38819 | 084 | Jul-03 | 249 | 428 | 401 | 206 | ||||||||||||||||
3-Aug | 195 | -01285241001 | 24459 | 191 | Aug-03 | 254 | 427 | 411 | 210 | ||||||||||||||||
3-Sep | -106 | 62607424571 | 26964 | 031 | Sep-03 | 251 | 454 | 422 | 210 | ||||||||||||||||
3-Oct | 566 | 09634730462 | 79884 | 431 | Oct-03 | 266 | 458 | 455 | 219 | ||||||||||||||||
3-Nov | 088 | 23264834944 | 02951 | 12 | Nov-03 | 268 | 469 | 457 | 222 | ||||||||||||||||
3-Dec | 524 | 14110879536 | 8856 | 41 | Dec-03 | 282 | 476 | 497 | 231 | ||||||||||||||||
4-Jan | 184 | 19478633231 | 26613 | 172 | Jan-04 | 287 | 485 | 510 | 235 | ||||||||||||||||
4-Feb | 139 | 52879779623 | 57235 | 144 | Feb-04 | 291 | 511 | 540 | 239 | ||||||||||||||||
4-Mar | -151 | 2268957551 | -03792 | -05 | Mar-04 | 287 | 522 | 538 | 237 | ||||||||||||||||
4-Apr | -157 | -56830338449 | -105019 | -233 | Apr-04 | 282 | 493 | 481 | 232 | ||||||||||||||||
4-May | 137 | -16566072328 | -32214 | 087 | May-04 | 286 | 484 | 466 | 234 | ||||||||||||||||
4-Jun | 194 | -17215338796 | -23435 | 168 | Jun-04 | 292 | 476 | 455 | 238 | ||||||||||||||||
4-Jul | -331 | -06069797015 | -19673 | -258 | Jul-04 | 282 | 473 | 446 | 232 | ||||||||||||||||
4-Aug | 04 | -05707405134 | -31134 | 082 | Aug-04 | 283 | 470 | 432 | 234 | ||||||||||||||||
4-Sep | 108 | 70162697766 | 75979 | 145 | Sep-04 | 286 | 503 | 465 | 237 | ||||||||||||||||
4-Oct | 153 | 34033420009 | 3203 | 17 | Oct-04 | 291 | 521 | 480 | 241 | ||||||||||||||||
4-Nov | 405 | 45583596598 | 79681 | 368 | Nov-04 | 302 | 544 | 518 | 250 | ||||||||||||||||
4-Dec | 34 | 01240939032 | 07905 | 307 | Dec-04 | 313 | 545 | 522 | 257 | ||||||||||||||||
5-Jan | -244 | 16755564551 | -35158 | -181 | Jan-05 | 305 | 554 | 504 | 253 | ||||||||||||||||
5-Feb | 21 | -20025648058 | 07235 | 196 | Feb-05 | 311 | 543 | 507 | 258 | ||||||||||||||||
5-Mar | -177 | -10751895082 | -32131 | -158 | Mar-05 | 306 | 537 | 491 | 254 | ||||||||||||||||
5-Apr | -19 | -2390258099 | -3307 | -143 | Apr-05 | 300 | 524 | 475 | 250 | ||||||||||||||||
5-May | 318 | 08685813036 | 14103 | 272 | May-05 | 310 | 529 | 481 | 257 | ||||||||||||||||
5-Jun | 014 | 2223478206 | 2443 | 083 | Jun-05 | 310 | 541 | 493 | 259 | ||||||||||||||||
5-Jul | 372 | -21671781188 | 16173 | 293 | Jul-05 | 322 | 529 | 501 | 267 | ||||||||||||||||
5-Aug | -091 | 49286219575 | 23044 | 002 | Aug-05 | 319 | 555 | 513 | 267 | ||||||||||||||||
5-Sep | 081 | 37034231946 | 44919 | 108 | Sep-05 | 321 | 576 | 536 | 270 | ||||||||||||||||
5-Oct | -167 | -41709576663 | -50465 | -191 | Oct-05 | 316 | 552 | 509 | 264 | ||||||||||||||||
5-Nov | 378 | 22186228209 | 731 | 307 | Nov-05 | 328 | 564 | 546 | 272 | ||||||||||||||||
5-Dec | 003 | 15087373486 | 26914 | 097 | Dec-05 | 328 | 572 | 561 | 275 | ||||||||||||||||
6-Jan | 265 | 05184116785 | 49735 | 32 | Jan-06 | 337 | 575 | 588 | 284 | ||||||||||||||||
6-Feb | 027 | -12693666599 | -08661 | 013 | Feb-06 | 338 | 568 | 583 | 284 | ||||||||||||||||
6-Mar | 125 | 20763323239 | 66529 | 136 | Mar-06 | 342 | 580 | 622 | 288 | ||||||||||||||||
6-Apr | 134 | -11401031738 | 110633 | 149 | Apr-06 | 346 | 573 | 691 | 292 | ||||||||||||||||
6-May | -288 | -38328436628 | -15079 | -283 | May-06 | 336 | 551 | 681 | 284 | ||||||||||||||||
6-Jun | 014 | -17992981531 | -41286 | 014 | Jun-06 | 337 | 541 | 652 | 285 | ||||||||||||||||
6-Jul | 062 | -32543371611 | -14002 | 038 | Jul-06 | 339 | 524 | 643 | 286 | ||||||||||||||||
6-Aug | 238 | -01076272465 | 29098 | 232 | Aug-06 | 347 | 523 | 662 | 292 | ||||||||||||||||
6-Sep | 258 | 07974403785 | -03827 | 16 | Sep-06 | 356 | 527 | 659 | 297 | ||||||||||||||||
6-Oct | 326 | -29512764216 | -00218 | 309 | Oct-06 | 368 | 512 | 659 | 306 | ||||||||||||||||
6-Nov | 19 | 03172013357 | 58364 | 222 | Nov-06 | 375 | 513 | 698 | 313 | ||||||||||||||||
6-Dec | 14 | 25165243518 | 03787 | 117 | Dec-06 | 380 | 526 | 700 | 317 | ||||||||||||||||
7-Jan | 151 | -10891073316 | 07036 | 127 | Jan-07 | 386 | 520 | 705 | 321 | ||||||||||||||||
7-Feb | -196 | -0242828355 | -13437 | -066 | Feb-07 | 378 | 519 | 696 | 318 | ||||||||||||||||
7-Mar | 112 | -24787732727 | -10187 | 115 | Mar-07 | 382 | 506 | 689 | 322 | ||||||||||||||||
7-Apr | 443 | 02879881174 | 68079 | 345 | Apr-07 | 399 | 508 | 736 | 333 | ||||||||||||||||
7-May | 349 | 04724656451 | 33768 | 267 | May-07 | 413 | 510 | 761 | 342 | ||||||||||||||||
7-Jun | -166 | 06726351642 | 29473 | -111 | Jun-07 | 406 | 514 | 783 | 338 | ||||||||||||||||
7-Jul | -31 | -10308231752 | -62002 | -209 | Jul-07 | 394 | 508 | 734 | 331 | ||||||||||||||||
7-Aug | 15 | -48378452877 | -4152 | 085 | Aug-07 | 400 | 484 | 704 | 334 | ||||||||||||||||
7-Sep | 374 | 50760632525 | 70341 | 364 | Sep-07 | 415 | 508 | 753 | 346 | ||||||||||||||||
7-Oct | 159 | 36478459472 | 64209 | 235 | 2672 | Oct-07 | 421 | 527 | 802 | 354 | |||||||||||||||
7-Nov | -418 | -09519733939 | -29049 | -338 | Nov-07 | 404 | 522 | 779 | 342 | ||||||||||||||||
7-Dec | -069 | -00407441673 | 00631 | -06 | Dec-07 | 401 | 522 | 779 | 340 | ||||||||||||||||
8-Jan | -6 | 38885050267 | 87377 | -527 | Jan-08 | 377 | 542 | 847 | 322 | ||||||||||||||||
8-Feb | -325 | 79938792923 | 97517 | -138 | Feb-08 | 364 | 585 | 930 | 318 | ||||||||||||||||
8-Mar | -043 | -01164410281 | -17484 | -069 | Mar-08 | 363 | 585 | 913 | 316 | ||||||||||||||||
8-Apr | 487 | -11768609649 | -73215 | 412 | Apr-08 | 381 | 578 | 847 | 329 | ||||||||||||||||
8-May | 13 | 26727320318 | 02045 | 143 | May-08 | 385 | 593 | 848 | 334 | ||||||||||||||||
8-Jun | -843 | 38796643349 | 38908 | -664 | Jun-08 | 353 | 616 | 881 | 311 | ||||||||||||||||
8-Jul | -084 | -111000927524 | -63133 | -116 | Jul-08 | 350 | 548 | 826 | 308 | ||||||||||||||||
8-Aug | 145 | -81389596386 | 09693 | 032 | Aug-08 | 355 | 503 | 834 | 309 | ||||||||||||||||
8-Sep | -891 | 2350077992 | 4926 | -863 | Sep-08 | 323 | 515 | 875 | 282 | ||||||||||||||||
8-Oct | -1679 | 231353875038 | 118043 | -1488 | Oct-08 | 269 | 634 | 978 | 240 | ||||||||||||||||
8-Nov | -718 | 91409930423 | 52566 | -464 | Nov-08 | 250 | 692 | 1029 | 229 | ||||||||||||||||
8-Dec | 106 | 39012647249 | 17001 | 298 | Dec-08 | 252 | 719 | 1047 | 236 | ||||||||||||||||
9-Jan | -843 | 36085657209 | -01782 | -629 | Jan-09 | 231 | 745 | 1045 | 221 | ||||||||||||||||
9-Feb | -1065 | 17480110926 | 0841 | -723 | Feb-09 | 207 | 758 | 1054 | 205 | ||||||||||||||||
9-Mar | 876 | -40891209192 | -17399 | 626 | Mar-09 | 225 | 727 | 1035 | 218 | ||||||||||||||||
9-Apr | 957 | -52452980511 | -24793 | 785 | Apr-09 | 246 | 689 | 1010 | 235 | ||||||||||||||||
9-May | 559 | -175764056892 | 24393 | 525 | May-09 | 260 | 568 | 1034 | 247 | ||||||||||||||||
9-Jun | 02 | 26344903362 | -3873 | 018 | Jun-09 | 260 | 583 | 994 | 248 | ||||||||||||||||
9-Jul | 756 | 29911557926 | 15775 | 638 | Jul-09 | 280 | 600 | 1010 | 264 | ||||||||||||||||
9-Aug | 361 | 66647387555 | 02737 | 292 | Aug-09 | 290 | 640 | 1013 | 271 | ||||||||||||||||
9-Sep | 373 | 19908108013 | 31657 | 353 | Sep-09 | 301 | 653 | 1045 | 281 | ||||||||||||||||
9-Oct | -186 | -1135758063 | -18836 | -156 | Oct-09 | 295 | 646 | 1025 | 276 | ||||||||||||||||
9-Nov | 6 | 429598654 | 65618 | 406 | Nov-09 | 313 | 673 | 1092 | 288 | ||||||||||||||||
9-Dec | 193 | -3538041182 | -30108 | 161 | Dec-09 | 319 | 649 | 1060 | 292 | ||||||||||||||||
10-Jan | -36 | -22840646395 | -587 | -256 | Jan-10 | 308 | 635 | 997 | 285 | ||||||||||||||||
10-Feb | 31 | 13842186803 | 10589 | 206 | Feb-10 | 317 | 643 | 1008 | 291 | ||||||||||||||||
10-Mar | 603 | 38205356429 | 32922 | 477 | Mar-10 | 336 | 668 | 1041 | 304 | ||||||||||||||||
10-Apr | 158 | 14253968325 | 03791 | 14 | Apr-10 | 342 | 678 | 1045 | 309 | ||||||||||||||||
10-May | -799 | -05569215148 | 17471 | -621 | May-10 | 314 | 674 | 1063 | 290 | ||||||||||||||||
10-Jun | -523 | -23229482293 | 07896 | -318 | Jun-10 | 298 | 658 | 1072 | 280 | ||||||||||||||||
10-Jul | 701 | -52850060701 | -35575 | 569 | Jul-10 | 319 | 623 | 1034 | 296 | ||||||||||||||||
10-Aug | -451 | 76993453056 | 43121 | -284 | Aug-10 | 305 | 671 | 1078 | 288 | ||||||||||||||||
10-Sep | 892 | 05035470246 | 12552 | 702 | Sep-10 | 332 | 675 | 1092 | 308 | ||||||||||||||||
10-Oct | 38 | 35726262618 | 52271 | 293 | Oct-10 | 344 | 699 | 1149 | 317 | ||||||||||||||||
10-Nov | 001 | -46572458071 | -67101 | -044 | Nov-10 | 344 | 666 | 1072 | 316 | ||||||||||||||||
10-Dec | 668 | 71205616987 | 60114 | 502 | Dec-10 | 367 | 714 | 1136 | 332 | ||||||||||||||||
11-Jan | 237 | 14260916813 | 02413 | 151 | Jan-11 | 376 | 724 | 1139 | 337 | ||||||||||||||||
11-Feb | 343 | -08196213636 | 14822 | 271 | Feb-11 | 389 | 718 | 1156 | 346 | ||||||||||||||||
11-Mar | 004 | -25144800567 | -53504 | 026 | Mar-11 | 389 | 700 | 1094 | 347 | ||||||||||||||||
11-Apr | 296 | 51621261523 | 44419 | 292 | Apr-11 | 401 | 736 | 1142 | 357 | ||||||||||||||||
11-May | -113 | -18535770592 | -51957 | -088 | May-11 | 396 | 722 | 1083 | 354 | ||||||||||||||||
11-Jun | -167 | 08676483656 | -46402 | -14 | Jun-11 | 389 | 729 | 1033 | 349 | ||||||||||||||||
11-Jul | -203 | 93387304437 | 48149 | -126 | Jul-11 | 382 | 797 | 1083 | 344 | ||||||||||||||||
11-Aug | -543 | 3189583693 | 00543 | -469 | Aug-11 | 361 | 822 | 1083 | 328 | ||||||||||||||||
11-Sep | -703 | -41599527992 | 34989 | -619 | Sep-11 | 335 | 788 | 1121 | 308 | ||||||||||||||||
11-Oct | 1093 | -13852548076 | -6243 | 834 | Oct-11 | 372 | 777 | 1051 | 333 | ||||||||||||||||
11-Nov | -022 | 39284953285 | -00578 | -096 | Nov-11 | 371 | 808 | 1050 | 330 | ||||||||||||||||
11-Dec | 102 | 01889893545 | 02082 | 061 | Dec-11 | 375 | 809 | 1053 | 332 | ||||||||||||||||
12-Jan | 448 | -01521632453 | -04526 | 426 | Jan-12 | 392 | 808 | 1048 | 346 | ||||||||||||||||
12-Feb | 432 | -22430032837 | 14221 | 342 | Feb-12 | 409 | 790 | 1063 | 358 | ||||||||||||||||
12-Mar | 329 | -12258940456 | -21399 | 158 | Mar-12 | 422 | 780 | 1040 | 364 | ||||||||||||||||
12-Apr | -063 | 13756177692 | -18216 | -038 | Apr-12 | 420 | 791 | 1021 | 363 | ||||||||||||||||
12-May | -601 | 43616823461 | 38067 | -528 | May-12 | 394 | 825 | 1060 | 343 | ||||||||||||||||
12-Jun | 412 | -61107318666 | -83896 | 324 | Jun-12 | 411 | 775 | 971 | 355 | ||||||||||||||||
12-Jul | 139 | -2662867044 | 20145 | 115 | Jul-12 | 416 | 754 | 991 | 359 | ||||||||||||||||
12-Aug | 225 | -29540623033 | -22929 | 186 | Aug-12 | 426 | 732 | 968 | 365 | ||||||||||||||||
12-Sep | 258 | -47724948882 | -20234 | 22 | Sep-12 | 437 | 697 | 948 | 373 | ||||||||||||||||
12-Oct | -185 | -18050840884 | -36659 | -098 | Oct-12 | 429 | 684 | 914 | 370 | ||||||||||||||||
12-Nov | 058 | -03984415062 | -0944 | 079 | Nov-12 | 431 | 682 | 905 | 373 | ||||||||||||||||
12-Dec | 091 | -17220762656 | 24366 | 124 | Dec-12 | 435 | 670 | 927 | 377 | ||||||||||||||||
13-Jan | 518 | -04335912154 | 32593 | 387 | Jan-13 | 458 | 667 | 957 | 392 | ||||||||||||||||
13-Feb | 136 | -29598734504 | 01523 | 08 | Feb-13 | 464 | 647 | 959 | 395 | ||||||||||||||||
13-Mar | 375 | -04786782014 | 2166 | 255 | Mar-13 | 481 | 644 | 979 | 405 | ||||||||||||||||
13-Apr | 193 | 11854540053 | 29259 | 181 | Apr-13 | 490 | 652 | 1008 | 412 | ||||||||||||||||
13-May | 234 | -43222576245 | -06784 | 082 | May-13 | 502 | 624 | 1001 | 416 | ||||||||||||||||
13-Jun | -134 | 06875789801 | 10553 | -177 | Jun-13 | 495 | 628 | 1012 | 408 | ||||||||||||||||
13-Jul | 509 | 06412005306 | -19554 | 423 | Jul-13 | 520 | 632 | 992 | 426 | ||||||||||||||||
13-Aug | -29 | 11512128942 | -11474 | -214 | Aug-13 | 505 | 639 | 981 | 417 | ||||||||||||||||
13-Sep | 314 | -19925877399 | -05148 | 361 | Sep-13 | 521 | 626 | 976 | 432 | ||||||||||||||||
13-Oct | 46 | -07538953205 | -06933 | 349 | Oct-13 | 545 | 622 | 969 | 447 | ||||||||||||||||
13-Nov | 305 | 27584740935 | 46402 | 189 | Nov-13 | 562 | 639 | 1014 | 455 | ||||||||||||||||
13-Dec | 253 | 19377872096 | 15067 | 18 | Dec-13 | 576 | 651 | 1029 | 463 | ||||||||||||||||
14-Jan | -346 | -08961192857 | -51141 | -251 | Jan-14 | 556 | 645 | 976 | 452 | ||||||||||||||||
14-Feb | 457 | -00139276726 | -05865 | 399 | Feb-14 | 581 | 645 | 971 | 470 | ||||||||||||||||
14-Mar | 084 | -34260446582 | -18865 | 037 | Mar-14 | 586 | 623 | 952 | 471 | ||||||||||||||||
14-Apr | 074 | 22210329784 | 03199 | 043 | Apr-14 | 591 | 637 | 955 | 473 | ||||||||||||||||
14-May | 235 | -07288421342 | 07134 | 197 | May-14 | 605 | 632 | 962 | 483 | ||||||||||||||||
14-Jun | 207 | 05841054246 | 00135 | 195 | Jun-14 | 617 | 636 | 962 | 492 | ||||||||||||||||
14-Jul | -138 | -00888949644 | 03097 | -153 | Jul-14 | 609 | 636 | 965 | 485 | ||||||||||||||||
14-Aug | 4 | 18791535569 | 48657 | 313 | Aug-14 | 633 | 648 | 1012 | 500 | ||||||||||||||||
14-Sep | -14 | 69028951277 | 63915 | -221 | Sep-14 | 624 | 692 | 1077 | 489 | ||||||||||||||||
14-Oct | 244 | 21563513841 | 15927 | 194 | Oct-14 | 639 | 707 | 1094 | 498 | ||||||||||||||||
14-Nov | 269 | 72204527611 | 104647 | 19 | Nov-14 | 657 | 758 | 1209 | 508 | LTCMRussian Debt (July 98 - Sept 98) | |||||||||||||||
14-Dec | -025 | 76468641712 | 47745 | -044 | Dec-14 | 655 | 816 | 1266 | 506 | Tech Bubble (April 00 - Sept 02) | |||||||||||||||
15-Jan | -3 | 54094515689 | 113573 | -159 | Jan-15 | 635 | 860 | 1410 | 497 | Financial Crisis (Oct 07 - Feb 09) | |||||||||||||||
15-Feb | 575 | -50846010492 | -16603 | 45 | Feb-15 | 672 | 817 | 1387 | 520 | ||||||||||||||||
15-Mar | -158 | 65245129876 | 57568 | -083 | Mar-15 | 661 | 870 | 1467 | 516 | ||||||||||||||||
15-Apr | 096 | -88441663253 | -51219 | 09 | Apr-15 | 667 | 793 | 1392 | 520 | ||||||||||||||||
15-May | 129 | 40875447394 | 08884 | 073 | May-15 | 676 | 825 | 1404 | 524 | ||||||||||||||||
15-Jun | -194 | -66047202646 | -62159 | -171 | Jun-15 | 663 | 771 | 1317 | 515 | ||||||||||||||||
15-Jul | 21 | 80060563143 | 34205 | 126 | Jul-15 | 677 | 833 | 1362 | 522 | ||||||||||||||||
15-Aug | -603 | -10026780942 | -24342 | -522 | Aug-15 | 636 | 824 | 1329 | 494 | ||||||||||||||||
15-Sep | -247 | 36089130828 | 34355 | -247 | Sep-15 | 620 | 854 | 1374 | 482 | ||||||||||||||||
15-Oct | 844 | -16993598229 | -58073 | 637 | Oct-15 | 673 | 839 | 1294 | 513 | ||||||||||||||||
15-Nov | 03 | 48441920313 | 30487 | 01 | Nov-15 | 675 | 880 | 1334 | 513 | ||||||||||||||||
15-Dec | -158 | 11998205926 | -10345 | -173 | Dec-15 | 664 | 891 | 1320 | 504 | ||||||||||||||||
16-Jan | -496 | 31480723033 | 48626 | -453 | Jan-16 | 631 | 919 | 1384 | 482 | ||||||||||||||||
16-Feb | -013 | 33572073647 | 44379 | -002 | Feb-16 | 630 | 950 | 1446 | 481 | ||||||||||||||||
16-Mar | 678 | -61786855584 | -39621 | 601 | Mar-16 | 673 | 891 | 1388 | 510 | ||||||||||||||||
16-Apr | 039 | -31282642584 | 09914 | 082 | Apr-16 | 676 | 863 | 1402 | 515 | ||||||||||||||||
16-May | 18 | -08911812015 | -5253 | 107 | May-16 | 688 | 855 | 1328 | 520 | ||||||||||||||||
16-Jun | 026 | 65324823204 | 94059 | 03 | Jun-16 | 690 | 911 | 1453 | 522 | ||||||||||||||||
16-Jul | 369 | 21567955023 | 02767 | 348 | Jul-16 | 715 | 931 | 1457 | 540 | ||||||||||||||||
16-Aug | 014 | -15149 | -44038 | 024 | Aug-16 | 716 | 917 | 1393 | 541 | ||||||||||||||||
16-Sep | 002 | 10335 | 0967 | 025 | Sep-16 | 716 | 926 | 1407 | 542 | ||||||||||||||||
-41363 | |||||||||||||||||||||||||
Correllation | 100 | -022 | -015 | 097 | |||||||||||||||||||||
skew | -04 | 02 | 01 | -08 | |||||||||||||||||||||
Kurt | 198 | 469 | -028 | 186 |
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