30
Linn-LaSalle Asset Management Alternative Investment Portfolio Analy
Linn-LaSalle Asset ManagementAlternative Investment Portfolio Analysis
Todays Investment ChallengesLow returns on cash
Under performing stock market over the past 5 years.
With highly appreciated real estate valuesHow long can double digit returns continue?
Alternative AssetsMetalsGoldSilver CopperNickelZincEnergyCrude OilNatural GasHeating OilUnleaded GasGas OilWTI CrudeShort-Term Interest RatesEurodollar (USA)Euribor (Europe)Short Sterling (UK)Schatz (Germany)Canadian 90 Day Bill (Canada)Euroswiss (Switzerland)
Long-Term Interest RatesTreasury Bond/30 Yr. (USA)Treasury Note/10 Yr. (USA)Treasury Note/5 Yr. (USA)Long Gilt (UK)JGB (Japan)Bund (Germany)Bobl (Germany)CurrenciesAustralian Dollar US DollarBritish Pound New Zealand DollarCanadian Dollar Singapore DollarEuro Dollar South African RandJapanese Yen Swiss FrancStock IndicesDAX (Germany)DJ Euro Stoxx 50 (Europe)FTSE (UK)Hang Seng (Hong Kong)IBEX (Spain)MSCI (Taiwan)NASDAQ 100 (USA)Nikkei (Japan)S&P 500 (USA)Traditional CommoditiesGrainsLivestockFood & FiberSugar CoffeeCotton
What can alternative assets do for me?Diversification
Reduce Portfolio Risk
Potential to enhance Portfolio Returns
Ability to profit in any economic environment
Opportunity to participate in Global investments
Who uses these Alternative Assets?Corporate and Public Pension Plans
Endowments
Family Trusts
High Net Worth Individuals
What value does Linn LaSalle provide?Analyze and study the performance of 2700 registered Advisors
Created a basic criteria/philosophy for choosing Advisors:Average Annual Returns in the 10%-20% rangeProven Track Records (Minimum of 5 years)Less then $50 Million under managementAdvisors that are low to non-correlated to each other
What value does Linn LaSalle provide?Ongoing monitoring of the advisors
Back up Advisors
Daily Transparency and Liquidity (Ability to pull your money out within 24 hours)
Funds are in held in a Segregated Account and are monitored by the Government and Exchanges on a daily basis
Daily and monthly accounting and email reports
Customized Portfolio analysis showing the past 5 years of a portfolio with and without our advisors.
Performance of AdvisorsSource: http://www.barclaygrp.com
Value of Asset Allocation
Sheet1
Initial InvestmentAverage Annual ReturnValue after 20yrs.
Strategy #11,000,0008%$4,660,960
Strategy #2$200,000(total loss)$0
$200,0000%$200,000
$200,0005%$530,660
$200,00010%$1,345,500
$200,00015%$3,273,310
Total$5,349,470
Strategy #1=Single Investment
Strategy #2=Asset Allocation
Sheet2
Sheet3
Alternative AssetProduct SectorsGlobal DiversifiedForeign ExchangeFinancial/Interest RatesOption tradingAgricultural
Alternative Investments5 non-correlated managers
5 different market sectors
5 unique methodologies=Opportunity for:Improved portfolio returns Reduced portfolio volatilityIncrease Diversification
Clarke Capital (Global Magnum)YTD Performance (July) : -2.54%Previous 5 year Avg: 19.25%**ALL PERFORMANCEIS NET OF FEES**Systematic, global diversified strategy trades 19 domestic and international marketsIncorporates 11 intermediate trading models that supply entry and exit signals
Clarke Capital (Global Magnum)
Sheet1
200620052004200320022001200019991998
1st Qtr-2.88%0.30%6.66%-0.52%-2.34%6.31%-2.05%2.74%0.68%
2nd Qtr3.12%4.76%-1.72%11.25%-0.24%-0.22%6.06%-0.28%4.67%
3rd Qtr-2.08%-0.47%-0.29%3.23%1.19%3.24%-2.16%14.54%
4th Qtr0.58%0.43%2.77%6.14%0.67%5.69%-0.38%-2.48%
Annual-2.54%10.80%8.31%49.94%10.10%17.11%39.43%2.31%45.97%
Sheet2
Sheet3
Wallwood ConsultantsCurrency trading specialist
Trades the Euro, the Yen and the U.S. Dollar
Short term, systematic methodologyYTD Performance (June): 1.83%Previous 5 year Avg: 20.17%**ALL PERFORMANCEIS NET OF FEES**
Wallwood Performance
Sheet1
200620052004200320022001
1st Qtr0.94%2.79%11.40%1.42%-0.51%3.35%
2nd Qtr-0.22%2.30%-5.81%-6.21%6.30%-1.17%
3rd Qtr1.59%4.76%-3.19%1.22%4.53%
4th Qtr1.34%2.71%5.51%-2.40%1.90%
Annual1.83%24.44%42.63%-9.45%11.43%31.79%
Sheet2
Sheet3
BC CapitalOption trading specialists in S&P 500
Credit spread writing strategy
Combination of rules based and discretionary trading YTD Performance (June): 4.58%Previous 5 Year Avg: 12.49%**ALL PERFORMANCEIS NET OF FEES**
BC Capital Performance
Sheet1
20062005200420032002200120001999
1st Qtr1.15%0.34%1.33%1.06%2.20%-14.42%1.75%
2nd Qtr0.54%1.78%2.65%3.08%2.48%13.29%2.40%2.35%
3rd Qtr0.94%1.76%1.25%-4.07%-4.56%-0.49%0.62%
4th Qtr0.60%1.25%2.87%2.99%6.09%2.90%1.84%
Annual4.58%12.25%21.42%25.39%7.34%-4.01%17.17%17.66%
Sheet2
Sheet3
Specializes in Financials
Trades interest rates & stock indices
Systematic, trend following methodologyCutler InvestmentsYTD Performance: -10.94% (June)Previous 5 year Avg: 15.81%**ALL PERFORMANCEIS NET OF FEES**
Cutler Investment Performance
Sheet1
20062005200420032002200120001999
1st Qtr-2.84%0.73%-1.11%1.10%1.96%2.79%-0.29%
2nd Qtr-0.88%3.34%-0.51%-0.91%1.62%6.03%-1.48%1.22%
3rd Qtr-0.52%1.22%-0.35%2.98%1.81%-2.78%1.45%
4th Qtr0.96%-1.64%0.83%1.14%2.53%3.15%8.67%
Year-10.94%14.08%-7.02%1.34%25.47%45.17%5.48%37.56%
Sheet2
Sheet3
Commodity CapitalSpecializes in agricultural futures, options, and spread trading
Discretionary methodology based on fundamental analysis and historical market relationships
Relatively low margin to equity/ low volatility advisorYTD Performance: 1.55%Previous 5 year Avg: .98%**ALL PERFORMANCEIS NET OF FEES**
Commodity Capital Performance
Sheet1
20062005200420032002200120001999199819971996
1st Qtr-0.50-1.061.860.210.84-3.24-4.402.441.19-0.411.40
2nd Qtr0.78-0.340.430.891.760.066.752.93-0.310.203.01
3rd Qtr-1.640.291.68-1.781.48-0.285.31-0.171.320.73
4th Qtr0.200.880.28-0.60-0.441.73-1.86-0.53-0.43-0.33
YTD1.55-8.4111.049.320.30-7.359.4927.55-0.251.9315.17
Sheet2
Sheet3
The mathematical portfolio representation reflects results after commissions, fees, and other charges. Individual account performance may vary. Refer to the individual CTA Disclosure Document.HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED AS FOLLOWS. NO REPRESENTATION IS BEING MADETHAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
Ultima Portfolio 5 Advisors (2/01-6/06) $400,000Annual Rate of Return12.28%Annual Standard Deviation9.25%Annual Sharpe Ratio.77Max Draw Down5.32%Correlation to the S&P.18
Chart1
0.25
0.25
0.125
0.25
0.125
Portfolio 1
Inputs and Assets
BelAir Capital
Strategic Investments
Allocation
Balancing
Optimization
Individual Assets & The Efficient Frontier
Efficient Frontier Inputs
Allocation ConstraintsDates
AssetMinMaxReturnVolatilityStartEnd
BC Capital Management0%100%22.05%6.01%Mar-03Mar-06
Clarke Capital Management (Global Magnum)0%100%18.00%27.64%Mar-03Mar-06
Commodity Capital Inc.0%100%3.73%6.45%Mar-03Mar-06
Cutler Investment Corp.0%100%1.76%13.73%Mar-03Mar-06
Wallwood Consultants, Ltd.0%100%20.55%20.65%Mar-03Mar-06
0.000%0%0.00%0.00%Dec-99Dec-99
0.000%0%0.00%0.00%Dec-99Dec-99
0.000%0%0.00%0.00%Dec-99Dec-99
0.000%0%0.00%0.00%Dec-99Dec-99
0.000%0%0.00%0.00%Dec-99Dec-99
Correlation Matrix
BC Capital ManagementClarke Capital Management (Global Magnum)Commodity Capital Inc.Cutler Investment Corp.Wallwood Consultants, Ltd.00Dec-99Dec-990.00
Asset
BC Capital Management1.00
Clarke Capital Management (Global Magnum)0.151.00
Commodity Capital Inc.0.13(0.15)1.00
Cutler Investment Corp.0.06(0.05)0.101.00
Wallwood Consultants, Ltd.0.02(0.22)0.140.301.00
0.000.000.000.000.000.000.00
0.000.000.000.000.000.000.000.00
0.000.000.000.000.000.000.000.000.00
0.000.000.000.000.000.000.000.000.000.00
0.000.000.000.000.000.000.000.000.000.000.00
Portfolio Statistics - Benchmark: S&P 500 TR
Ann.Ann.CorrelationActiveAnn.Ann.MaximumAnn. GainAnn. Loss
Individual Asset StatisticsReturnStd. Dev.With BMPremiumSharpeSortinoDrawdownDeviationDeviation
BC Capital Management22.05%6.01%0.564.96%2.5648.150.50%5.80%0.52%
Clarke Capital Management (Global Magnum)18.00%27.64%0.360.91%0.541.8810.15%31.91%8.25%
Commodity Capital Inc.3.73%6.45%(0.08)(13.35)%(0.16)0.9011.76%3.30%3.90%
Cutler Investment Corp.1.76%13.73%(0.30)(15.33)%(0.16)0.2013.14%10.53%9.23%
Wallwood Consultants, Ltd.20.55%20.65%(0.25)3.46%0.781.5926.74%13.05%12.81%
0.000.00%0.00%0.000.00%0.000.000.00%0.00%0.00%
0.000.00%0.00%0.000.00%0.000.000.00%0.00%0.00%
0.000.00%0.00%0.000.00%0.000.000.00%0.00%0.00%
0.000.00%0.00%0.000.00%0.000.000.00%0.00%0.00%
0.000.00%0.00%0.000.00%0.000.000.00%0.00%0.00%
Multi Portfolio Comparison Report
Inputs and Assets
0.1283540.2204721270.17996141260.03729187430.01758735250.2054809382
0.129275
0.130196
0.131117
0.132039
0.13296
0.133881
0.134802
0.135723
0.136644
0.137566
0.138487
0.139408
0.140329
0.14125
0.142172
0.143093
0.144014
0.144935
0.145856
0.146777
0.147699
0.14862
0.149541
0.150462
0.151383
0.152305
0.153226
0.154147
0.155068
0.155989
0.156911
0.157832
0.158753
0.159674
0.160595
0.161516
0.162438
0.163359
0.16428
0.165201
0.166122
0.167044
0.167965
0.168886
0.169807
0.170728
0.171649
0.172571
0.173492
0.174413
0.175334
0.176255
0.177177
0.178098
0.179019
0.17994
0.180861
0.181782
0.182704
0.183625
0.184546
0.185467
0.186388
0.18731
0.188231
0.189152
0.190073
0.190994
0.191915
0.192837
0.193758
0.194679
0.1956
0.196521
0.197443
0.198364
0.199285
0.200206
0.201127
0.202048
0.20297
0.203891
0.204812
0.205733
0.206654
0.207576
0.208497
0.209418
0.210339
0.21126
0.212181
0.213103
0.214024
0.214945
0.215866
0.216787
0.217709
0.21863
0.219551
EfficientFronter
BC Capital Management
Clarke Capital Management (Global Magnum)
Commodity Capital Inc.
Cutler Investment Corp.
Wallwood Consultants, Ltd.
Ocean Park Capital
Wallwood Consultants, Ltd.
BLS Employment: Total Non-farm Payroll Employment (Seasonally Adjusted)
BLS Price Index: PPI Finished Goods - Food (Unadjusted)
BMO Nesbitt Burns Small Cap Index - Total Return (Unweighted)
Risk
Return
BC Capital Management
Clarke Capital Management (Global Magnum)
Commodity Capital Inc.
Cutler Investment Corp.
Wallwood Consultants, Ltd.
Ocean Park Capital
Wallwood Consultants, Ltd.
BLS Employment: Total Non-farm Payroll Employment (Seasonally Adjusted)
BLS Price Index: PPI Finished Goods - Food (Unadjusted)
BMO Nesbitt Burns Small Cap Index - Total Return (Unweighted)
Portfolios & Allocations
BelAir Capital
Strategic Investments
Allocation
Balancing
Optimization
Portfolios & The Efficient Frontier
Portfolio Allocations
Portfolio 1000000000
BC Capital Management25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Clarke Capital Management (Global Magnum)25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Commodity Capital Inc.12.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Cutler Investment Corp.25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Wallwood Consultants, Ltd.12.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
0.000.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
0.000.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
0.000.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
0.000.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
0.000.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Portfolio Statistics - Benchmark: S&P 500 TR
Benchmark:S&P 500 TR
Ann.Ann.CorrelationAnn.ActiveTrackingInformationMax
PortfolioReturnStd. Dev.to BMto BMAlphaBetaPremiumError to BMRatioDrawdown
Portfolio 114.17%7.99%0.210.0411.06%0.19(2.91)%10.53%(0.28)4.27%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
0.000.00%0.00%0.000.000.00%0.000.00%0.00%0.000.00%
Portfolio Statistics - Benchmark: S&P 500 TR
Benchmark:S&P 500 TR
Portfolios & Allocations
0.1053
Portfolio Tracking Errors
Portfolio Pie Allocations
0.1106
11.06%
Portfolio Annualized Alphas
Instructions
-0.277
Portfolio Information Ratios
Portfolio Statistics
0.1283540.1348518246
0.129275
0.130196
0.131117
0.132039
0.13296
0.133881
0.134802
0.135723
0.136644
0.137566
0.138487
0.139408
0.140329
0.14125
0.142172
0.143093
0.144014
0.144935
0.145856
0.146777
0.147699
0.14862
0.149541
0.150462
0.151383
0.152305
0.153226
0.154147
0.155068
0.155989
0.156911
0.157832
0.158753
0.159674
0.160595
0.161516
0.162438
0.163359
0.16428
0.165201
0.166122
0.167044
0.167965
0.168886
0.169807
0.170728
0.171649
0.172571
0.173492
0.174413
0.175334
0.176255
0.177177
0.178098
0.179019
0.17994
0.180861
0.181782
0.182704
0.183625
0.184546
0.185467
0.186388
0.18731
0.188231
0.189152
0.190073
0.190994
0.191915
0.192837
0.193758
0.194679
0.1956
0.196521
0.197443
0.198364
0.199285
0.200206
0.201127
0.202048
0.20297
0.203891
0.204812
0.205733
0.206654
0.207576
0.208497
0.209418
0.210339
0.21126
0.212181
0.213103
0.214024
0.214945
0.215866
0.216787
0.217709
0.21863
0.219551
EfficientFronter
Portfolios
Risk
Return
BP19
BP18
BP17
BP16
BP15
BP14
BP13
BP11
BP12
IP10
IP9
IP8
IP7
IP6
IP5
Portfolio 4 S&P plus Cash
Portfolio 3 Alternative Managers only
Portfolio 2 Four Managers
Portfolio 1
Asset Class Statistics
Portfolio Statistics - Benchmark: S&P 500 TR
Portfolio 10
Ann ROR14.17%00.00%
Ann. Std. Dev7.99%00.00%
Down Dev. (0%)3.12%00.00%
Ann Sharpe1.0900.00
Sortino (0%)4.2700.00
Max Draw Down4.27%00.00%
Alpha11.06%00.00%
Beta0.1900.00
Correlation0.2100.00
Track Error10.53%00.00%
Info Ratio(0.28)00.00
Active Premium(2.91)%00.00%
00
00.00%00.00%
00.00%00.00%
00.00%00.00%
00.0000.00
00.0000.00
00.00%00.00%
00.00%00.00%
00.0000.00
00.0000.00
00.00%00.00%
00.0000.00
00.00%00.00%
00
00.00%00.00%
00.00%00.00%
00.00%00.00%
00.0000.00
00.0000.00
00.00%00.00%
00.00%00.00%
00.0000.00
00.0000.00
00.00%00.00%
00.0000.00
00.00%00.00%
00
00.00%00.00%
00.00%00.00%
00.00%00.00%
00.0000.00
00.0000.00
00.00%00.00%
00.00%00.00%
00.0000.00
00.0000.00
00.00%00.00%
00.0000.00
00.00%00.00%
00
00.00%0.00%0.00%
00.00%0.00%0.00%
00.00%0.00%0.00%
00.000.00%0.00
00.000.00%0.00
00.00%0.00%0.00%
00.00%0.00%0.00%
00.000.00%0.00
00.000.00%0.00
00.00%0.00%0.00%
00.000.00%0.00
00.00%0.00%0.00%
Multi Portfolio Comparison Report
Asset Class Statistics
0.25
0.25
0.125
0.25
0.125
Portfolio 1
Point Plots
0.2
0.2
0.4
0.2
Portfolio 2 Four Managers
Point Pie Charts
0.33
0.33
0.34
Portfolio 3 Alternative Managers only
AllocationAnalysis
0.8
0.2
Portfolio 4 S&P plus Cash
AssetsExt
IP5
AllocationsExt
IP6
AssetCorrExt
IP7
FrontierData
IP8
FrontierDataAssets
IP9
StatPortfolioChartDatas
IP10
EFChartDatas
Export Instructions
Multi Portfolio Comparison Repor
Portfolio 1
BC Capital Management
Clarke Capital Management (Global Magnum)
Commodity Capital Inc.
Cutler Investment Corp.
Wallwood Consultants, Ltd.
0.25
0.25
0.125
0.25
0.125
This template is designed to be used with 1-10 assets and 1-10 portfolios plotted in the Efficient Frontier Module. These portfolios can be plotted either on or off of the efficient frontier line. This template is designed to work with either "Portfolios, Interval Points, or Break Points" using monthly data. If quarterly data is used, some reformatting may be necessary.
Step 1: Plot up to 10 points on or off of the efficient frontier (this step is not necessary if you are going to use "Interval Points" or "Break Points" - skip to step 2). To plot a point on the efficient frontier line, click a point on the line and then click the Plot button located on the "Portfolio Allocations" table. To plot a point off of the efficient frontier line, first click on the frontier line and then type your allocations in column B located in the "Portfolio Allocations" table, then click the Plot button to plot your point.
Step 2: Run the report. When your points have been plotted (or if you are using "Interval Points" or "Break Points") click the Export button located on the efficient frontier chart menu bar. The Efficient Frontier Report Export window will appear. There is a drop-down box labeled "Calculate Statistics". Click the down arrow and select one of three options. Select "Portfolios" if you want to use portfolios that you have plotted (step 1 above). Select "Interval Points" if you want to use 10 points equally distributed along the frontier. Or, select "Break Points" if you want to use the points on the frontier where significant changes have occurred. Now click the locate button to locate the template, which will be installed in the PerTrac\Custom Reports folder. Highlight the file "Custom Efficient Frontier 1 to 10 Portfolios."
FrontierDataCorrs
Risk TableBenchmark :S&P 500 TR
Compound RORStandard DeviationGain DeviationLoss DeviationDown Dev.(10.00%)Down Dev.(5.00%)Down Dev.(0%)Sharpe(5.00%)Sortino(10.00%)Sortino(5.00%)Sortino(0%)SterlingCalmarMaximum DrawdownSkewnessKurtosisAlphaBetaRR^2T-ErrorInformation RatioActive Premium
PortfolioMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedAnnualizedAnnualizedAnnualizedMonthQuarterMonthQuarterMonthQuarterAnnualizedMonthQuarterMonthQuarterMonthQuarterMonthQuarterMonthQuarterAnnualized
Portfolio 11.11%3.37%14.17%2.31%5.46%7.99%1.90%4.88%6.57%1.15%1.92%3.97%1.27%2.50%4.40%1.08%1.85%3.74%0.90%1.31%3.12%0.320.441.090.250.380.850.651.162.251.232.574.271.013.074.27%0.880.952.611.450.88%1.21%11.06%0.1900.5830.2060.4960.0430.24610.53%10.31%-0.277-0.236-2.91%
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00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
Errors
Benchmark :S&P 500 TR
Compound RORStandard DeviationGain DeviationLoss DeviationDown Dev.(10.00%)Down Dev.(5.00%)Down Dev.(0%)Sharpe(5.00%)Sortino(10.00%)Sortino(5.00%)Sortino(0%)SterlingCalmarMaximum DrawdownSkewnessKurtosisAlphaBetaRR^2T-ErrorInformation RatioActive Premium
AssetMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedAnnualizedAnnualizedAnnualizedMonthQuarterMonthQuarterMonthQuarterAnnualizedMonthQuarterMonthQuarterMonthQuarterMonthQuarterMonthQuarterAnnualized
BC Capital Management1.67%5.11%22.05%1.74%3.63%6.01%1.68%3.63%5.80%0.15%0.00%0.52%0.43%0.00%1.48%0.26%0.00%0.90%0.12%0.00%0.42%0.741.092.562.06****7.124.85****16.8113.90****48.151.9440.370.50%1.342.651.427.911.16%2.94%14.91%0.3870.5490.5580.7040.3110.4967.38%7.02%0.6720.7284.96%
Clarke Capital Management (Global Magnum)1.39%4.22%18.00%7.98%13.93%27.64%9.21%13.63%31.91%2.38%2.73%8.25%3.02%5.35%10.46%2.79%4.55%9.66%2.56%3.76%8.86%0.160.280.540.200.340.680.350.661.220.541.121.881.132.1610.15%3.171.5713.922.790.09%-2.27%1.05%1.1591.8040.3640.6020.1320.36325.81%23.57%0.0350.0700.91%
Commodity Capital Inc.0.31%0.92%3.73%1.86%3.50%6.45%0.95%2.41%3.30%1.13%0.81%3.90%1.63%3.40%5.65%1.40%2.59%4.84%1.17%1.83%4.06%-0.05-0.11-0.16-0.30-0.44-1.04-0.07-0.12-0.250.260.500.900.180.2411.76%-0.200.07-0.75-1.530.40%-0.95%4.94%-0.0590.434-0.0800.5760.0060.33211.78%10.38%-1.134-1.345-13.35%
Cutler Investment Corp.0.15%0.44%1.76%3.96%6.57%13.73%3.04%2.78%10.53%2.67%3.28%9.23%2.99%5.50%10.36%2.77%4.77%9.61%2.56%4.06%8.88%-0.05-0.01-0.16-0.22-0.36-0.75-0.09-0.17-0.330.060.110.20-0.08-0.1313.14%0.23-0.411.03-1.310.87%2.34%10.90%-0.477-0.288-0.301-0.2040.0910.04218.73%18.65%-0.818-0.711-15.33%
Wallwood Consultants, Ltd.1.57%4.78%20.55%5.96%11.52%20.65%3.77%9.28%13.05%3.70%8.42%12.81%3.80%5.96%13.16%3.61%5.48%12.50%3.41%5.02%11.83%0.220.350.780.200.400.700.320.651.120.460.951.590.660.6526.74%-0.250.64-0.393.212.54%4.87%35.07%-0.5880.083-0.2470.0340.0610.00124.33%24.65%0.1420.1143.46%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00%0.000.000.000.000.00%0.00%0.00%0.0000.0000.0000.0000.0000.0000.00%0.00%0.0000.0000.00%
Efficient Frontier
Statistical Portfolio
PortfolioHeadersPortfolio 1000000000
Expected Return13.5%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
Expected Volatility8.2%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
Asset Allocations
BC Capital Management25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Clarke Capital Management (Global Magnum)25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Commodity Capital Inc.12.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Cutler Investment Corp.25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Wallwood Consultants, Ltd.12.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
0.0000
0.1283540.1283540.134852
0.1292750.186249
0.1301960.218608
0.1311170.219576
0.1320390.220472
0.13296
0.133881
0.134802
0.135723
0.136644
0.137566
0.138487
0.139408
0.140329
0.14125
0.142172
0.143093
0.144014
0.144935
0.145856
0.146777
0.147699
0.14862
0.149541
0.150462
0.151383
0.152305
0.153226
0.154147
0.155068
0.155989
0.156911
0.157832
0.158753
0.159674
0.160595
0.161516
0.162438
0.163359
0.16428
0.165201
0.166122
0.167044
0.167965
0.168886
0.169807
0.170728
0.171649
0.172571
0.173492
0.174413
0.175334
0.176255
0.177177
0.178098
0.179019
0.17994
0.180861
0.181782
0.182704
0.183625
0.184546
0.185467
0.186388
0.18731
0.188231
0.189152
0.190073
0.190994
0.191915
0.192837
0.193758
0.194679
0.1956
0.196521
0.197443
0.198364
0.199285
0.200206
0.201127
0.202048
0.20297
0.203891
0.204812
0.205733
0.206654
0.207576
0.208497
0.209418
0.210339
0.21126
0.212181
0.213103
0.214024
0.214945
0.215866
0.216787
0.217709
0.21863
0.219551
EfficientFronter
Break Points
Portfolios
Portfolio 1
0.1283540.1348518246
0.129275
0.130196
0.131117
0.132039
0.13296
0.133881
0.134802
0.135723
0.136644
0.137566
0.138487
0.139408
0.140329
0.14125
0.142172
0.143093
0.144014
0.144935
0.145856
0.146777
0.147699
0.14862
0.149541
0.150462
0.151383
0.152305
0.153226
0.154147
0.155068
0.155989
0.156911
0.157832
0.158753
0.159674
0.160595
0.161516
0.162438
0.163359
0.16428
0.165201
0.166122
0.167044
0.167965
0.168886
0.169807
0.170728
0.171649
0.172571
0.173492
0.174413
0.175334
0.176255
0.177177
0.178098
0.179019
0.17994
0.180861
0.181782
0.182704
0.183625
0.184546
0.185467
0.186388
0.18731
0.188231
0.189152
0.190073
0.190994
0.191915
0.192837
0.193758
0.194679
0.1956
0.196521
0.197443
0.198364
0.199285
0.200206
0.201127
0.202048
0.20297
0.203891
0.204812
0.205733
0.206654
0.207576
0.208497
0.209418
0.210339
0.21126
0.212181
0.213103
0.214024
0.214945
0.215866
0.216787
0.217709
0.21863
0.219551
EfficientFronter
Portfolios
BP19
BP18
BP17
BP16
BP15
BP14
BP13
BP11
BP12
IP10
IP9
IP8
IP7
IP6
IP5
Portfolio 4 S&P plus Cash
Portfolio 3 Alternative Managers only
Portfolio 2 Four Managers
Portfolio 1
ASSET ALLOCATION ANALYSIS
Asset Risks Returns
Analysis Inputs
AllocationsDates
AssetMinMaxReturnVolatilityStartEnd
BC Capital Management0.00%100.00%22.05%6.01%Mar-03Mar-06
Clarke Capital Management (Global Magnum)0.00%100.00%18.00%27.64%Mar-03Mar-06
Commodity Capital Inc.0.00%100.00%3.73%6.45%Mar-03Mar-06
Cutler Investment Corp.0.00%100.00%1.76%13.73%Mar-03Mar-06
Wallwood Consultants, Ltd.0.00%100.00%20.55%20.65%Mar-03Mar-06
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
Correlations
AssetBC Capital ManagementClarke Capital Management (Global Magnum)Commodity Capital Inc.Cutler Investment Corp.Wallwood Consultants, Ltd.0.00000.00000.00000.00000.0000
BC Capital Management1.0000
Clarke Capital Management (Global Magnum)0.14711.0000
Commodity Capital Inc.0.1273-0.15241.0000
Cutler Investment Corp.0.0586-0.05450.09881.0000
Wallwood Consultants, Ltd.0.0150-0.21560.14470.30181.0000
00.00000.00000.00000.00000.00000.0000
00.00000.00000.00000.00000.00000.00000.0000
00.00000.00000.00000.00000.00000.00000.00000.0000
00.00000.00000.00000.00000.00000.00000.00000.00000.0000
00.00000.00000.00000.00000.00000.00000.00000.00000.00000.0000
0.1283540.2204721270.17996141260.03729187430.01758735250.2054809382
0.129275
0.130196
0.131117
0.132039
0.13296
0.133881
0.134802
0.135723
0.136644
0.137566
0.138487
0.139408
0.140329
0.14125
0.142172
0.143093
0.144014
0.144935
0.145856
0.146777
0.147699
0.14862
0.149541
0.150462
0.151383
0.152305
0.153226
0.154147
0.155068
0.155989
0.156911
0.157832
0.158753
0.159674
0.160595
0.161516
0.162438
0.163359
0.16428
0.165201
0.166122
0.167044
0.167965
0.168886
0.169807
0.170728
0.171649
0.172571
0.173492
0.174413
0.175334
0.176255
0.177177
0.178098
0.179019
0.17994
0.180861
0.181782
0.182704
0.183625
0.184546
0.185467
0.186388
0.18731
0.188231
0.189152
0.190073
0.190994
0.191915
0.192837
0.193758
0.194679
0.1956
0.196521
0.197443
0.198364
0.199285
0.200206
0.201127
0.202048
0.20297
0.203891
0.204812
0.205733
0.206654
0.207576
0.208497
0.209418
0.210339
0.21126
0.212181
0.213103
0.214024
0.214945
0.215866
0.216787
0.217709
0.21863
0.219551
EfficientFronter
BC Capital Management
Clarke Capital Management (Global Magnum)
Commodity Capital Inc.
Cutler Investment Corp.
Wallwood Consultants, Ltd.
Ocean Park Capital
Wallwood Consultants, Ltd.
BLS Employment: Total Non-farm Payroll Employment (Seasonally Adjusted)
BLS Price Index: PPI Finished Goods - Food (Unadjusted)
BMO Nesbitt Burns Small Cap Index - Total Return (Unweighted)
BC Capital Management
Clarke Capital Management (Global Magnum)
Commodity Capital Inc.
Cutler Investment Corp.
Wallwood Consultants, Ltd.
Ocean Park Capital
Wallwood Consultants, Ltd.
BLS Employment: Total Non-farm Payroll Employment (Seasonally Adjusted)
BLS Price Index: PPI Finished Goods - Food (Unadjusted)
BMO Nesbitt Burns Small Cap Index - Total Return (Unweighted)
Analysis Inputs
AllocationsDates
AssetMinMaxReturnVolatilityStartEnd
BC Capital Management0.00%100.00%22.05%6.01%Mar-03Mar-06
Clarke Capital Management (Global Magnum)0.00%100.00%18.00%27.64%Mar-03Mar-06
Commodity Capital Inc.0.00%100.00%3.73%6.45%Mar-03Mar-06
Cutler Investment Corp.0.00%100.00%1.76%13.73%Mar-03Mar-06
Wallwood Consultants, Ltd.0.00%100.00%20.55%20.65%Mar-03Mar-06
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
00.00%0.00%0.00%0.00%Dec-99Dec-99
Asset AllocationsPortfolio 1000000000
BC Capital Management25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Clarke Capital Management (Global Magnum)25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Commodity Capital Inc.12.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Cutler Investment Corp.25.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Wallwood Consultants, Ltd.12.50%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
00.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
Correlations
AssetBC Capital ManagementClarke Capital Management (Global Magnum)Commodity Capital Inc.Cutler Investment Corp.Wallwood Consultants, Ltd.000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000
BC Capital Management10.14709560540.12733062710.05862191270.015039741000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000
Clarke Capital Management (Global Magnum)0.14709560541-0.1523564426-0.0544532493-0.2155939613000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000
Commodity Capital Inc.0.1273306271-0.152356442610.09881184180.1446828653000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000
Cutler Investment Corp.0.0586219127-0.05445324930.098811841810.3017943326000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000
Wallwood Consultants, Ltd.0.015039741-0.21559396130.14468286530.30179433261000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000
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EFDataCount100Efficient FrontierCompound RORStandard DeviationGain DeviationLoss DeviationDown Dev.(10.00%)Down Dev.(5.00%)Down Dev.(0%)Sharpe(5.00%)Sortino(10.00%)Sortino(5.00%)Sortino(0%)SterlingCalmarMaximum DrawdownSkewnessKurtosisAlphaBetaRR^2T-ErrorInformation RatioActive Premium
PortfolioCount1VolatilityReturnPortfolioMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedAnnualizedAnnualizedAnnualizedMonthQuarterMonthQuarterMonthQuarterAnnualizedMonthQuarterMonthQuarterMonthQuarterMonthQuarterMonthQuarterAnnualized
AssetCount50.04455250.128354Portfolio 11.11%3.37%14.17%2.31%5.46%7.99%1.90%4.88%6.57%1.15%1.92%3.97%1.27%2.50%4.40%1.08%1.85%3.74%0.90%1.31%3.12%0.320.441.090.250.380.850.651.162.251.232.574.271.013.074.27%0.8895.00%261.00%1.450.88%1.21%11.06%0.190.5830.20649.60%0.0430.24610.53%10.31%-0.277-0.236-2.91%
PortfolioTypePortfolios0.0445540.129275
BenchmarkS&P 500 TR0.04455860.130196
0.04456610.131117
Breakpoint Return0.1283540.1862490.2186080.2195760.2204720.04457670.132039
Breakpoint Volatility0.04455251840.05017152260.05752110980.05803074190.06010977770.04459030.13296
PortfolioHeadersPortfolio 10.04460690.133881
Expected Return0.13485182460.04462660.134802
Expected Volatility0.0822778370.04464920.135723
0.04467480.136644
BC Capital Management0.250.04470350.137566
Clarke Capital Management (Global Magnum)0.250.04473510.138487
Commodity Capital Inc.0.1250.04476980.139408
Cutler Investment Corp.0.250.04480740.140329
Wallwood Consultants, Ltd.0.1250.04484790.14125
0.04489150.142172
0.0449380.143093
0.04498740.144014
0.04503980.144935
0.04509510.145856
0.04515340.146777
0.04521450.147699
Asset CorrelationsBC Capital ManagementClarke Capital Management (Global Magnum)Commodity Capital Inc.Cutler Investment Corp.Wallwood Consultants, Ltd.0.04527850.14862
BC Capital Management100.00%14.71%12.73%5.86%1.50%0.04534540.149541
Clarke Capital Management (Global Magnum)14.71%100.00%-15.24%-5.45%-21.56%0.04541520.150462
Commodity Capital Inc.12.73%-15.24%100.00%9.88%14.47%0.04548790.151383
Cutler Investment Corp.5.86%-5.45%9.88%100.00%30.18%0.04556330.152305
Wallwood Consultants, Ltd.1.50%-21.56%14.47%30.18%100.00%0.04564160.153226
0.04572280.154147
0.04580670.155068
0.04589340.155989
0.04598280.156911
0.04607510.157832
0.046170.158753
Analysis InputsMinMaxReturnVolatilityStartDateEndDate0.04626770.159674
BC Capital Management0.001.000.220.06Mar-03Mar-060.0463680.160595
Clarke Capital Management (Global Magnum)0.001.000.180.28Mar-03Mar-060.04647110.161516
Commodity Capital Inc.0.001.000.040.06Mar-03Mar-060.04657680.162438
Cutler Investment Corp.0.001.000.020.14Mar-03Mar-060.04668520.163359
Wallwood Consultants, Ltd.0.001.000.210.21Mar-03Mar-060.04679620.16428
0.04690980.165201
0.0470260.166122
0.04714470.167044
0.0472660.167965
0.04738990.168886
0.04751630.169807
0.04764510.170728
Portfolio 1BC Capital ManagementClarke Capital Management (Global Magnum)Commodity Capital Inc.Cutler Investment Corp.Wallwood Consultants, Ltd.0.04777640.171649
0.250.250.1250.250.1250.04791020.172571
Portfolio 2 Four Managers0.04804640.173492
0.04818510.174413
Portfolio 3 Alternative Managers only0.04832610.175334Compound RORStandard DeviationGain DeviationLoss DeviationDown Dev.(10.00%)Down Dev.(5.00%)Down Dev.(0%)Sharpe(5.00%)Sortino(10.00%)Sortino(5.00%)Sortino(0%)SterlingCalmarMaximum DrawdownSkewnessKurtosisAlphaBetaRR^2T-ErrorInformation RatioActive Premium
0.04846950.176255AssetMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedMonthQuarterAnnualizedAnnualizedAnnualizedAnnualizedMonthQuarterMonthQuarterMonthQuarterAnnualizedMonthQuarterMonthQuarterMonthQuarterMonthQuarterMonthQuarterAnnualized
Portfolio 4 S&P plus Cash0.04861520.177177BC Capital Management1.67%5.11%22.05%1.74%3.63%6.01%1.68%3.63%5.80%0.15%0.52%0.43%0.00%1.48%0.26%0.00%0.90%0.12%0.00%0.42%0.741.092.562.06****7.124.85****16.8113.9****48.151.9440.370.50%1.34265.00%142.00%7.911.16%2.94%14.91%0.3870.5490.55870.40%0.3110.4967.38%7.02%0.6720.7284.96%
0.04876330.178098Clarke Capital Management (Global Magnum)1.39%4.22%18.00%7.98%13.93%27.64%9.21%13.63%31.91%2.38%2.73%8.25%3.02%5.35%10.46%2.79%4.55%9.66%2.56%3.76%8.86%0.160.280.540.20.340.680.350.661.220.541.121.881.132.1610.15%3.17157.00%1392.00%2.790.09%-2.27%1.05%1.1591.8040.36460.20%0.1320.36325.81%23.57%0.0350.070.91%
IP50.04891360.179019Commodity Capital Inc.0.31%0.92%3.73%1.86%3.50%6.45%0.95%2.41%3.30%1.13%0.81%3.90%1.63%3.40%5.65%1.40%2.59%4.84%1.17%1.83%4.06%-0.05-0.11-0.16-0.3-0.44-1.04-0.07-0.12-0.250.260.50.90.180.2411.76%-0.27.00%-75.00%-1.530.40%-0.95%4.94%-0.0590.434-0.0857.60%0.0060.33211.78%10.38%-1.134-1.345-13.35%
0.04906630.17994Cutler Investment Corp.0.15%0.44%1.76%3.96%6.57%13.73%3.04%2.78%10.53%2.67%3.28%9.23%2.99%5.50%10.36%2.77%4.77%9.61%2.56%4.06%8.88%-0.05-0.01-0.16-0.22-0.36-0.75-0.09-0.17-0.330.060.110.2-0.08-0.1313.14%0.23-41.00%103.00%-1.310.87%2.34%10.90%-0.477-0.288-0.301-20.40%0.0910.04218.73%18.65%-0.818-0.711-15.33%
IP60.04922120.180861Wallwood Consultants, Ltd.1.57%4.78%20.55%5.96%11.52%20.65%3.77%9.28%13.05%3.70%8.42%12.81%3.80%5.96%13.16%3.61%5.48%12.50%3.41%5.02%11.83%0.220.350.780.20.40.70.320.651.120.460.951.590.660.6526.74%-0.2564.00%-39.00%3.212.54%4.87%35.07%-0.5880.083-0.2473.40%0.0610.00124.33%24.65%0.1420.1143.46%
0.04937840.181782
IP70.04953780.182704
0.04969930.183625
IP80.04986310.184546
0.0500290.185467
IP90.05019710.186388
0.05036760.18731
IP100.05054060.188231
0.05071630.189152
0.05089440.190073
0.0510750.190994
0.05125810.191915
0.05144370.192837
0.05163160.193758
0.0518220.194679
0.05201470.1956
0.05220980.196521
0.05240720.197443
0.05260680.198364
0.05280870.199285
0.05301290.200206
0.05321930.201127
0.05342780.202048
0.05363850.20297
0.05385140.203891
0.05406630.204812
0.05428340.205733
0.05450240.206654
0.05472360.207576
0.05494670.208497
0.05517180.209418
0.05539890.210339
0.05562790.21126
0.05585880.212181
0.05609160.213103
0.05632630.214024
0.05656280.214945
0.05680120.215866
0.05704130.216787
0.05728320.217709
0.0575270.21863
0.05801120.219551
Analysis InputsMinMaxReturnVolatilityStartDateEndDateAsset AllocationsPortfolio 1BP11BP12BP13BP14BP15BP16BP17BP18BP19
BC Capital Management010.2204721270.06011026063/1/033/1/06BC Capital Management0.250.49057952680.77041339570.83288827150.938906955400.78638760440.79589061340.86656973020
Clarke Capital Management (Global Magnum)010.17996141260.27637605473/1/033/1/06Clarke Capital Management (Global Magnum)0.25000000.00375552780.000000475300
Commodity Capital Inc.010.03729187430.06449735933/1/033/1/06Commodity Capital Inc.0.1250.00506859060.01977939030.02244216950.061093044610.0414955970.04521860750.13343026981
Cutler Investment Corp.010.01758735250.13725589643/1/033/1/06Cutler Investment Corp.0.25000000000
Wallwood Consultants, Ltd.010.20548093820.20652037053/1/033/1/06Wallwood Consultants, Ltd.0.125000000000
0.000000560400000000
000000000
000000000
000000000
000000000
000000000
0.12207332640.14371630250.144669559000.16836127080.158890303800
0.06655352010.00000049650000000
0.31572447570.0660904150000000
000000000
PortfolioNameRiskReturn
Portfolio 10.0822778370.1348518246
RowCount100
ExtraDataCount1
ExtraDataType5
ExtraStartCol1
PortfolioCount1
Portfolio 1
BreakpointC4C7C8
0.04455250.1283540.08227780.134852
0.05017150.186249
0.05752120.218608
0.05803070.219576
0.06011030.220472
Asset CorrelationsBC Capital ManagementClarke Capital Management (Global Magnum)Commodity Capital Inc.Cutler Investment Corp.Wallwood Consultants, Ltd.
BC Capital Management10.14709560540.12733062710.05862191270.015039741
Clarke Capital Management (Global Magnum)0.14709560541-0.1523564426-0.0544532493-0.2155939613
Commodity Capital Inc.0.1273306271-0.152356442610.09881184180.1446828653
Cutler Investment Corp.0.0586219127-0.05445324930.098811841810.3017943326
Wallwood Consultants, Ltd.0.015039741-0.21559396130.14468286530.30179433261
"The following errors occurred while attempting to update the charts."
MBD00B47507.doc
MBD00B45482.doc
The mathematical portfolio representation reflects results after commissions, fees, and other charges. Individual account performance may vary. Refer to the individual CTA Disclosure Document.HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED AS FOLLOWS. NO REPRESENTATION IS BEING MADETHAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
Mega Portfolio 4 Advisors (2/01-6/06) $250,000Annual Rate of Return13.44%Annual StandardDeviation12.03%Annual Sharpe Ratio.70Max Draw Down6.57%Correlation to the S&P.12
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Portfolio 1
Inputs and Assets
Individual Assets & The Efficient Frontier
Efficient Frontier Inputs
Allocation ConstraintsDates
AssetMinMaxReturnVolatilityStartEnd
BC Capital Management0%100%11.74%29.52%Feb-01Mar-06
Clarke Capital Management (Global Magnum)0%100%17.20%27.12%Feb-01Mar-06
Commodity Capital Inc.0%100%1.28%9.10%
