The Europe Aggressive/Europe Conservative Plus (EAEC+) Trading Discipline uses the Rydex Family of funds, the money market and the Europe Advantage Fund.
Theta Research was hired in July of 2003 to track the performance of the EAEC+. As the chart above shows, this discipline has outperformed the S&P 500 markedly.
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Performance and Risk Statistics as of 12/13/2006
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Stat
|
3M
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6M
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12M
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24M
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36M
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48M
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60M
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QTD
|
YTD
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Incep
|
Incep/Ann
|
|
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Perf
|
10.71%
|
21.12%
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22.85%
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35.45%
|
60.09%
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N/A
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N/A
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9.66%
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21.85%
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99.70%
|
22.16%
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|
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StdDev (Annualized)
|
11.65%
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15.28%
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17.63%
|
16.28%
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16.14%
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N/A
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N/A
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--
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--
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15.55%
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--
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|
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Max DD
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-1.85%
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-4.53%
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-13.84%
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-13.84%
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-13.84%
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N/A
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N/A
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-1.85%
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-13.84%
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-13.84%
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--
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Ulcer Index
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0.43%
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1.18%
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4.87%
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4.56%
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4.91%
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N/A
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N/A
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--
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--
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4.65%
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--
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Ulcer Perf Index
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104.04%
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34.76%
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3.59%
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2.41%
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2.35%
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N/A
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N/A
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--
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--
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3.61%
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--
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The above chart is a rolling return chart, showing performance over the last X periods. The QTD, YTD and Inception numbers are as they suggest.
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Monthly Performance - Net of Fees
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Year
|
2003
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2004
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2005
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2006
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Model
|
BenchMark
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Model
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BenchMark
|
Model
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BenchMark
|
Model
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BenchMark
|
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Jan
|
--
|
--
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1.66%
|
1.73%
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-2.19%
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-2.53%
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7.83%
|
2.55%
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Feb
|
--
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--
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1.15%
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1.22%
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6.66%
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1.89%
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-3.03%
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0.05%
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Mar
|
--
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--
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-4.44%
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-1.64%
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-3.64%
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-1.91%
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1.37%
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1.11%
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Apr
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--
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--
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-3.43%
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-1.68%
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-0.01%
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-2.01%
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5.84%
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1.22%
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May
|
--
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--
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2.66%
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1.21%
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-1.92%
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3.00%
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-2.56%
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-3.09%
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Jun
|
--
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--
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2.44%
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1.80%
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1.35%
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-0.01%
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-2.47%
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0.01%
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Jul
|
--
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--
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1.08%
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-3.43%
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2.33%
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3.60%
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4.60%
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0.51%
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Aug
|
4.64%
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1.79%
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0.71%
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0.23%
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2.23%
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-1.12%
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0.10%
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2.13%
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Sep
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11.87%
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-1.19%
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2.49%
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0.94%
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4.03%
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0.69%
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-0.45%
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2.46%
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Oct
|
0.92%
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5.50%
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1.34%
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1.40%
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-2.32%
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-1.77%
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3.81%
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3.15%
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Nov
|
-0.18%
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0.71%
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7.56%
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3.86%
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-2.96%
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3.52%
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3.89%
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1.65%
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Dec
|
4.07%
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5.08%
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3.69%
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3.25%
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6.07%
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-0.10%
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Year's Perf
(compounded) |
|
|
17.68%
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8.99%
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9.33%
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3.00%
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This chart compares the monthly returns with the S&P. Fees are charged in January, April, July, and October.
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Statistics Vs Benchmark
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Program
Europe Aggressive/Europe Conservative Plus |
BenchMark
S&P 500 Index |
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Annualized Performance
|
21.07%
|
10.95%
|
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Maximum Drawdown
|
-7.71%
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-4.54%
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Max Drawdown Month
|
4 - 2004
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4 - 2005
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Best Monthly Performance
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11.87%
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5.50%
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Worst Monthly Performance
|
-4.44%
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-3.43%
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Months Up
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27
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28
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Months Down
|
13
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12
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Standard Deviation Annualized
|
12.41%
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7.41%
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Correlation Coefficient
to Benchmark (monthly returns) |
0.34
|
N/A
|
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Coefficient of Determination (R2)
(monthly returns) |
0.12
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N/A
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Up/Down Benchmark Month Comparisons
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Months when
BenchMark was Up |
Months when
BenchMark was Down |
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Europe Aggressive/Europe Conservative Plus OutPerformed Benchmark
|
15
|
8
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Avg Perf Difference in Months OutPerformed
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2.42%
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3.92%
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Average Monthly Return
|
2.24%
|
0.33%
|
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Capture Ratio
|
111.59%
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-19.58%
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Correlation Coefficient
|
0.18
|
0.44
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Coefficient of Determination (R2)
|
0.03
|
0.19
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1) The annualized performance of EAEC+ is over twice that of the S&P but with less than double the standard deviation. At least by this measure, the reward beats the risk.
2) The low Correlation Coefficient suggests that this discipline could be used to hedge a portfolio with a strong correlation to the S&P.
3) EAEC+ outperformed the S&P 13 out of 25 months when the S&P was up and two-thirds of the months when the S&P was down.
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Rolling Period Statistics
|
3 Mo
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6 Mo
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12 Mo
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24 Mo
|
36 Mo
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# of Periods
|
35
|
32
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26
|
14
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2
|
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% of Periods Profitable
|
80
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84
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100
|
100
|
100
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Average Period Return
|
4.37%
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8.52%
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17.36%
|
38.18%
|
72.27%
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Average Period Gain
|
6.24%
|
10.23%
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17.36%
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38.18%
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72.27%
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Average Period Loss
|
-3.10%
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-0.74%
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0.00%
|
0.00%
|
0.00%
|
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Best Performance
|
18.14%
|
24.77%
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24.66%
|
52.10%
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76.10%
|
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Worst Performance
|
-6.65%
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-1.42%
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6.88%
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26.24%
|
68.45%
|
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Standard Deviation
|
18.43%
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23.10%
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13.94%
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15.73%
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3.08%
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As the manager, says the EAEC+ is a long-range program. We would look for the standard deviation to be lower over long periods of time. While 3 years is not as long as we would like, seeing the 3.08% for the two 36 month periods reported is very encouraging and considering market conditions, the 12 and 24 month standard deviation numbers are not bad.
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Statistics about Trading Style
|
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# of Months Measured
|
40
|
|
|
|
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Total # Trades
|
174
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# Winning Trades
|
110
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|
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Average # Trades Per Year
|
52
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Avg # Winning Trades Per Year
|
33
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Average % of Account Traded each Trade
|
97.31%
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Avg Gain Per Winning Trade
|
2.00%
|
|
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Average % of Time 100% in MMKT
|
25.80%
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Avg Loss Per Losing Trade
|
-1.54%
|
|
The assets are traded 100%; meaning the manager does not take partial positions. On a signal to go long, 100% is placed in The Europe Advantage Fund for the next day. The winning percentage is 62.42%. In our minds, anything over 60% is excellent. Combined with the 62%+ is the 2.05% gain per win versus the 1.58% per loss which is why this program has performed as well as it has.