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Portfolio123 Portfolio Categories
1) Market Timing (3)
2) Stanford University Contest (2)
3) Long Strategies (6)
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General
Performance
Statistical
DISCLOSURE
1) Market Timing -- as of 07/29/10
Name
Rank System
Inception
Stocks
Tot Ret
Annual
Annual Bench
Sharpe Ratio
DDown
1 Day
1 Wk
26 Wk
Chaikin Indicators - Market Timing Model
ChaikinIndicators
03/31/01
10
3,835.9%
48.3%
-0.4
%
1.51
-24.7
%
0.70%
1.82%
4.76%
P123 Multi-market Model
P123 Multi-market Rank
03/31/01
10
329.1%
16.9%
-0.4
%
0.60
-29.5
%
0.25%
1.19%
4.76%
SP500 Market Timing Model
Momentum Value
03/31/01
16
333.6%
17.0%
-0.4
%
0.78
-17.9
%
0.24%
1.43%
4.28%
2) Stanford University Contest -- as of 07/29/10
Name
Rank System
Inception
Stocks
Tot Ret
Annual
Annual Bench
Sharpe Ratio
DDown
1 Day
1 Wk
26 Wk
Kasa Model
Kasa Model
03/31/01
20
872.3%
27.6%
-0.4
%
0.67
-57.4
%
1.38%
5.46%
8.35%
Value Sentimentum
Value Sentimentum
03/31/01
23
471.5%
20.5%
-0.4
%
0.52
-56.2
%
1.51%
2.15%
7.03%
3) Long Strategies -- as of 07/29/10
Name
Rank System
Inception
Stocks
Tot Ret
Annual
Annual Bench
Sharpe Ratio
DDown
1 Day
1 Wk
26 Wk
GARP $100K
Balanced4
03/31/01
20
618.9%
23.5%
-0.4
%
0.78
-52.2
%
1.38%
2.48%
1.36%
GARP $1M
Balanced4
03/31/01
33
198.0%
12.4%
-0.4
%
0.38
-51.3
%
-0.17
%
0.71%
4.19%
GARP $500K
Balanced4
03/31/01
26
252.4%
14.5%
-0.4
%
0.46
-48.6
%
0.47%
1.70%
5.72%
Value & Mom $100K
Momentum Value
03/31/01
20
423.1%
19.4%
-0.4
%
0.64
-59.3
%
0.25%
1.01%
-3.69
%
Value & Mom $1M
Momentum Value
03/31/01
30
153.4%
10.5%
-0.4
%
0.26
-57.6
%
0.92%
3.50%
5.88%
Value & Mom $500K
Momentum Value
03/31/01
25
162.6%
10.9%
-0.4
%
0.28
-59.5
%
1.93%
4.96%
-2.37
%
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DISCLOSURE
Portfolio123 Models represent hypothetical or simulated performance, not actual trading. Since the trades have not actually been executed, the results may have under-or-over compensated for the impact of certain market factors, such as liquidity. Returns include commission and slippage for each trade. Dividends are not included. Remember that past returns are no guarantee of future returns.
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