Algoam UK 100 Equity Strategy Index The UK stock market is extremely diverse. Among the top FTSE 100 companies listed on the London Stock Exchange (LSE) are some of the biggest global and foreign companies. The mining sector with companies such as BHP Billiton (BLT), Glencore (GLEN), Vedenta (VED), Petrofac (PFC), Anglo American (AAL) and energy companies such as Shell (RDSA) to Unilever (ULVR) and GlaxoSmithKline (GSK) etc. to illustrate this. What this means is that to try and predict the direction of the UK market from UK economic data is very difficult. The mining sector reacts more to what is going on in China rather than the state of the economy in the United Kingdom or even in Europe. Much of the growth for consumer stocks is in the emerging markets. Consumer services or companies in the property sector and so on are more UK business centric. One can look to the UK economy to try and anticipate their prospects. For the market as a whole predicting market direction is more complex. But any sensible analysis is likely to yield better results at the sector or the market as a whole level compared with simply being long of the market in all conditions. The Algoam UK 100 Equity Strategy Index employs proprietary measures that are both forward looking and historical to determine the exposure to the market as a whole. The exposure can be taken using the liquid futures markets or alternatively using Exchange Traded Funds (ETFs) which track the performance of the FTSE 100 companies. The same could be done for the FTSE 250. There is no leverage in the Algoam UK 100 Equity Strategy Index: In the Algoam UK 100 Long/Short Strategy Index one is either 100% in the market or 100% short. There are no positions in between. In the Algoam UK 100 Long/Cash Strategy Index one is either 100% in the market or 100% in the overnight deposits (UK Libor). The Volatility Control version adjusts the exposure to the risky asset according to the range of realised volatility. The Volatility Target version adjusts the exposure to the risky asset to a level which targets 15% realised volatility As can be seen below annualised returns can be improved by nearly 8 times for the same level of risk in the Algoam UK 100 Long/Short Strategy Index and by more than 4 times by simply staying out of the markets in times of high risk. The draw downs are reduced very significantly. The Algoam UK 100 Equity Strategy can be implemented at low cost. The resulting improvements in performance measures are illustrated in the table and graph below. These strategies are made available to Institutional Investors only after signing of an Investment Service Agreement. Please contact us. Algoam Vol Monitor on FTSE Fund Long/Ca sh Algoam Vol Monitor on FTSE Fund Long/Cas h Annualized Return Year To Date Return Last 1 Yr Return (Annualized) Last 3 Yrs Return (Annualized) Last 5 Yrs Return (Annualized) Annualized Volatility Maximum Drawdown Downside Volatility Time to Recovery (in Yrs) Return/Vol (Sharpe Ratio) Return/Down side Vol (Sortino Ratio) Return/Maxd d (Calmar Ratio) Average Monthly Return VC 15% version Algoam Vol Monitor on FTSE Fund Long/Sh ort VT 15% version Algoam Vol Monitor on FTSE Fund Long/Sh ort VC 15% version VT 15% version Ishare FTSE 100 UK Fund 14.97% 7.58% 7.71% 24.30% 11.40% 11.53% 3.10% 15.11% 15.11% 17.87% 15.11% 15.11% 17.87% 15.11% 22.19% 19.85% 22.24% 17.37% 17.05% 19.38% 25.35% 17.18% 9.97% 10.38% 23.77% 13.42% 13.83% 8.22% 14.16% 6.97% 7.11% 24.75% 11.27% 11.41% 1.18% 18.01% 10.35% 10.91% 23.05% 12.75% 13.21% 23.20% 21.77% 8.83% 9.38% 25.85% 13.16% 13.16% 45.35% 15.28% 8.15% 8.76% 15.91% 8.32% 8.74% 17.70% 0.39 0.35 0.59 1.36 0.52 0.52 4.02 0.83 0.73 0.71 1.05 0.89 0.87 0.13 0.98 0.93 0.88 1.53 1.37 1.32 0.18 0.69 0.86 0.82 0.94 0.87 0.88 0.07 1.15% 0.55% 0.56% 1.98% 0.87% 0.88% 0.30% Maximum Monthly Return Minimum Monthly Return Monthly Standard Deviation Positive to Negative Monthly Return Ratio Average Annual Return 12.68% 6.48% 9.36% 28.57% 10.76% 10.76% 8.20% -7.10% -3.29% -3.29% -11.48% -6.63% -6.63% -12.90% 3.71% 2.08% 2.26% 7.36% 3.47% 3.59% 4.81% 1.35 1.18 1.03 1.10 1.18 1.03 1.26 10.30% 4.49% 4.05% 11.21% 4.80% 4.32% 7.84% Algoam Vol Monitor on FTSE Fund Long/Short 350 Algoam Vol Monitor on FTSE Fund Long/Short VC 15% version Ishare FTSE 100 UK Fund 300 250 200 150 100 50 0 27-Mar-08 27-Mar-09 27-Mar-10 27-Mar-11 27-Mar-12 27-Mar-13
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