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Thu 15 May 2008 | 10:32 PM
   

Clear Large Cap Growth Milestone: A Three Year Track Record of Out-Performance

The LCG Portfolio
The portfolio is comprised of the highest ranked large cap growth stocks according to Clear's multifactor model
  • Market cap above $8 billion
  • Concentrated at 20 stocks
  • Ranking-based weighting methodology
  • Actively managed rules-based system
  • Risk management



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Clear Asset Management Portfolio Statistics
October 15, 2004 - October 12, 2007
 
Clear Large Cap Growth
S&P 500 Growth
Difference
Return Since Inception
to 10/12/07
80.99%
36.93%
44.05%

 

 

 

 

2005 Data

 

 

 

 - Return
16.09%
2.49%
13.60%
 - Standard deviation
16.00%
10.18%
5.83%
 - Sharpe ratio
             
0.81
            
(0.06)
             
0.87
 - Downside deviation
10.35%
5.75%
4.61%
 - Sortino ratio
             
1.25
            
(0.11)
             
1.36

 

 

 

 

2006 Data

 

 

 

 - Return
5.78%
9.39%
-3.61%
 - Standard deviation
20.17%
9.85%
10.32%
 - Sharpe ratio
             
0.05
             
0.47
            
(0.42)
 - Downside deviation
12.72%
6.03%
6.69%
 - Sortino ratio
             
0.08
             
0.77
            
(0.69)

 

 

 

 

Beta vs. S&P 500 Growth
             
1.32

 

 

R-squared vs. S&P 500 Growth
62.40%

 

 

 

 

 

 

Drawdown
-9.82%

 

 

Wipeout
5 months (Oct 04 - Feb 05)
Recovery
3 months (May'05 to Jun '05)
Inception October 15, 2004
Returns are gross of fees; benchmark returns do not include dividend reinvestment


*gross of fees
**does not include dividend reinvestment




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Returns on the S&P-500 Index, S&P/BARRA 500 Growth Index, S&P/BARRA 500 Value Index, S&P/BARRA 400 Growth Index, S&P/BARRA 400 Value Index, S&P/BARRA 600 Growth Index, S&P/BARRA 600 Value Index or other identified index ("Benchmarks") are also calculated as noted above for actual returns, but for Benchmark returns calculated through inception and back testing periods, does not include dividend reinvestments. Trading costs, fees and taxes are not included in any Benchmark returns. See for further information regarding the limitations of back tested performance data of the Model Portfolios.

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