Portfolio Efficiency SP Trader
The figure to the right shows the possible effects of allocating varying percentages of an SP Trader Fund investment to a traditional portfolio of stocks and bonds.
The ratio of mean annual return to the standard deviation of returns is a widely used measure of risk versus reward, and assumes risk equals the volatility of returns.
The chart shows significant improvements in portfolio efficiency are gained by allocating funds to an SP Trader Fund investment. The optimal allocation for this hypothetical portfolio would be 42% Stocks, 28% Bonds, and 30% SP Trader Fund.
A study published by the Chicago Mercantile Exchange concluded that portfolios with as much as 20% of assets in managed futures yielded up to 50% more with comparable risk than portfolios of stocks and bonds alone. The "Impact of Incremental Additions of Managed Futures to the Traditional Portfolio," provided by the Chicago Board of Trade, shows that a traditional portfolio (55% stocks, 45% bonds, and 0% managed futures) presents an investor with the greatest risk and lowest returns. However, a portfolio comprising 45% stocks, 35% bonds, and 20% managed futures offers an investor the greatest returns and least amount of
risk.
SP Trader Portfolio Efficiency
Stocks = 2:1 S&P 500 (Domestic Equities) : MCSI World
Index (World Equities)
Bonds = Lehman Government Bond Index
THESE PERFORMANCE TABLES AND RESULTS
ARE FROM ACTUAL RESULTS OF SP TRADER
FUND’S TRADING FOR THE PERIOD JAN ‘00- NOV
‘08