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10歳前後・男児・白紋付袴羽織セット・130cm・140cm【二分の一成人式

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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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