Statistical SP Trader Summary
| Avg. Annualized Simple Return, % | 71.9 |
| Annualized Standard Deviation*, % | 13.0 |
| Daily Standard Deviation, % | 0.90 |
| Max Drawdown*, % | 0.4 |
| Max Drawdown Duration, months | 1 |
| Sharpe Ratio* (Risk Free = 2%) | 5.53 |
| Sterling Ratio* | 6.91 |
*Annualized Standard Deviation - a risk measure of the amount a future annual return is likely to be from the average annual return. For example, the S&P 500, which has a long-term average annual return of 9.8% and a standard deviation of 14.2, is expected to have returns between -18.6% and 38.2% ninety five percent of
the time. These bounds are calculated by both adding and subtracting two standard deviations (14.2*2) from the average annual return.
*Max Drawdown - the maximum percent loss from an equity peak to subsequent equity low on an end-ofmonth basis. For example, a $100,000 investment worth $90,000 one month later would have experienced a 10% drawdown.
*Sharpe Ratio – A risk-adjusted return ratio computed here as the ratio of average annual return to annualized standard deviation of returns. For comparison, total return on the S&P 500 has a Sharpe Ratio of 0.69.
*Sterling Ratio – A risk-adjusted return ratio computed by dividing average annual return by the max drawdown. For comparison, total return on the S&P 500 has a Sterling Ratio of 0.12.
THESE PERFORMANCE TABLES AND RESULTS ARE FROM ACTUAL RESULTS OF SP TRADER FUND’S TRADING FOR THE PERIOD JAN ‘00- NOV ‘08