Benchmark

 

As of June 30, 2012	Portfolio 1	Portfolio 2	DIA	SPY	QQQ	IWM	Risk Free
Risk Free	0.35%	0.35%	0.35%	0.35%	0.35%	0.35%	0.35%
Annualized Return	25.80%	34.43%	-3.23%	-9.78%	-18.04%	-9.54%	4.25%
Cumulative Return	5.89%	10.01%	-0.82%	-2.52%	-4.83%	-2.45%
Standard Deviation	28.61%	18.43%	18.67%	16.98%	17.88%	20.10%
Sharpe Ratio	0.68	1.92	(0.03)	(0.26)	(0.60)	(0.06)
Downside Risk	1.51%	0.77%	1.87%	1.84%	2.16%	2.02%
Av Excess Return	1.80%	2.98%	-0.52%	-1.11%	-1.89%	-1.06%
Sortino Ratio	1.19	3.84	(0.28)	(0.61)	(0.88)	(0.52)
M2	0.06	0.16	(0.03)	(0.07)	(0.06)	(0.05)
Best Month	11.25%	8.22%	4.32%	3.70%	3.20%	5.02%
Worst Month	-4.87%	-2.34%	-6.15%	-6.01%	-7.04%	-6.58%
Number of Winning Periods	2	2	2	2	1	1
Number of Losing Periods	1	1	1	1	2	2
Probability of a period gain	66.67%	66.67%	66.67%	66.67%	33.33%	33.33%
Average Return in Winning Periods	5.65%	6.15%	2.81%	1.86%	3.20%	5.02%
Expection of a period gain	3.77%	4.10%	1.87%	1.24%	1.07%	1.67%
Probability of a period loss	33.33%	33.33%	33.33%	33.33%	66.67%	66.67%
Average loss in losing periods	-4.87%	-2.34%	-6.15%	-6.01%	-3.92%	-3.58%
Expectation of a period loss	-1.62%	-0.78%	-2.05%	-2.00%	-2.61%	-2.38%
Largest Winning Streak	1	1	1	1	1	1
Largest Losing Streak	-1	-1	-1	-1	-2	-2
Arithmetic Average	2.14%	3.32%	-0.17%	-0.76%	-1.55%	-0.71%
Risk-Adjusted Return?	132.14%	426.80%	-8.50%	-38.20%	-59.17%	-29.76%
Volatility-Adjusted Return?	461.80%	2315.52%	-45.55%	-225.04%	-330.92%	-148.03%

Cumulative % Gain/Loss

(Click to see large)