The charts below illustrate the value-added—or Alpha—that our disciplined process can provide. Alpha measures the difference between a portfolio’s actual return and its expected return—Portfolio Expected Performance (PEP)—given its level of risk, or Beta.
The actual performance (gross of fees) of each Symmetric Portfolio is the sum of the applicable Portfolio Expected Performance and CSP Value Added, or Alpha.
Portfolio Expected Performance (PEP) for each Symmetric portfolio equals the applicable S&P 500* rate of return, minus the applicable 90-day Treasury Rate (representative of a “risk free investment”), multiplied by the applicable Beta, plus the 90-day Treasury Rate. The Beta Value of each portfolio measures the expected change in its return per 1% change in the S&P 500*. The Beta used for each portfolio is based not on actual portfolios but rather on model portfolios that have been invested since 12/31/01 and have neither in/outflows nor management fees.
The Risk/Reward information is supplemental to the fully compliant presentation which is available upon request
Beta |
Return |
||||||||
Cap 50 |
Cap 60 |
Cap 70 |
Cap 80 |
Cap 90 |
Cap 100 |
90-day Treasury |
S & P 500* |
||
3 Year |
0.62 | 0.71 | 0.79 | 0.89 | 0.99 | 1.03 | 4.16 | 6.61 | |
5 Year |
0.59 | 0.69 | 0.78 | 0.88 | 0.99 | 1.03 | 2.97 | 10.79 | |
*S&P 500 rate of return is without dividends and capital gains reinvested
As of 12/31/07
