Behavioral Investment Management. Overview. Beating the market Are markets efficient? What are the sources of alpha? Is your alpha reliable? Behavioral approach to asset management Investors are biased Biases often persist Biases are not always arbitraged away - PowerPoint PPT Presentation
Slide 1
Behavioral Investment Management
Overview
Beating the market
Are markets efficient?
What are the sources of alpha?
Is your alpha reliable?
Behavioral approach to asset management
Investors are biased
Biases often persist
Biases are not always arbitraged away
Example of implementing a behavioral approach
2
Real Life Orange Juice Example:
Royal Dutch / Shell formed in 1907
Royal Dutch trades on the NYSE
Shell trades on the Financial Times Stock Exchange Index
1 Royal Dutch = 1.5 Shell
5
Source: Froot and Dabora (1999)
Do These Two Stocks Trade At A Price Ratio Of 1.5?
6
Source: Thaler (2008)
Another Orange Juice Example
3Com sold 5% of Palm, the rest still belonged to 3Com
stockholders
Each 3Com holder owned 1.5 shares of Palm
At the end of 3/2/2000 Palm was at $95
3Com holders owned $142.50 worth of Palm
7
Source: Lamont and Thaler, (2002)
What Was 3Com Worth At The Close of 3/2/2000?
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Source: Lamont and Thaler, (2002)
$242?
$197?
$142.50?
$102?
$81?
What Are The Sources Of Alpha?
Fundamental Managers
Better information
Analysts outperform on stock recommendations when they have
school ties to senior officers of the firm being evaluated
Better processing
Warren Buffett has a net worth of $62 billion
Berkshire Hathaway averages ~27% annual returns
10
Sources: Frazzini, et al (2008),
http://moneycentral.msn.com/content/investing/findhotstocks/p90537.asp
Market Average Vs. Buffett Returns
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Source: CRSP Database
Market Average
2803328062280942812528156281842821528244282762830628335283682839828429284592848928521285492858028608286412867128702287332876228794288242885328886289142894428975290062903529067290982912629159291892922029251292802931129341293712940229433294622949429525295532958629616296442967629706297352976729798298292985929889299202995129980300083004130071300993013230162301943022430253302853031630347303753040630435304673049730526305593058930620306503068030712307413077130802308333086230894309253095330986310163104731078311063113531167311983122631259312893132031351313803141231443314713150231532315623159331624316533168531716317443177731807318353186731897319263195831989320203205032080321113214232171322023223332262322943232432353323863241632447324773250732539325673259832626326593268932720327513278032812328423287132904329323296232993330243305333085331163314433177332073323833269332973332533358333893341733450334803351133542335713360333634336623369433724337533378533816338473387733907339383396933998340263405934089341173415034180342123424234271343033433434365343933442434453344853451534544345773460734638346683469834730347583478934817348503488034911349423497135003350333506235095351243515335185352163524435277353073533835369353983543035461354893552035550355803561135642356713570335734357623579535825358533588535915359443597636007360383606836098361293616036189362173625036280363083634136371364033643336462364943652536556365853661636644366773670736738367693679836830368603688936922369503698037011370423707137103371343716237195372253725637287373153734337376374073743537468374983752937560375893762137652376803771137741377713780237833378623789437925379533798638016380443807738107381353816838198382303826038289383213835238383384113844238471385033853338562385953862538656386863871638748387763880738835388683889838929389603898939021390513908039113391413917139202392333926239294393253935339386394163944710.979627999999999940.984882724591998551.04554263648234571.0075507537004840.991671753822166990.982502756786325260.987368110437931270.976719345366860111.02689048798031961.01373602082929161.00020061747917381.0017749332510910.962425213872988631.0061501161896661.01441865784451180.958420719094181250.949531366924581620.981827777307787031.06316337220774141.0878691626511051.07617348128344291.1372452501727971.18540986100811611.17724120165590821.04657095999571091.0819366858758791.10109778458274411.15559001284395781.12465949056017791.19845739701175891.20867065094908651.19226173819180611.24811920062609081.26682975556267131.34882911198073811.35075523995264611.25260936421768681.33227907761002441.36986533494755821.45973808997745951.46121972413879011.28554604402392771.35276467557384981.43405230492908411.48813615355717781.59146935178787951.62895322943054491.67699920493259591.71067167196843741.89015534379136941.82512076887753621.75191882507939581.77911386100110411.86128045555757821.84032802146936651.86526998714433741.84619014044584211.8405167981442511.73693435326148691.62617526035706611.72403360899957181.80308054997220561.75242119884018011.70649549648217571.61925091422453021.60290619549634511.67225913785688941.6250813630596671.58622241750618391.55366361616444611.73856978411503181.76770995226658381.97742399016368282.08012150509284232.11031654886076762.19863329643058412.26507159738212942.3436084248781432.51747604670301422.55076714994461452.6472805265970762.56371382221398392.57259452689412752.61390782240152572.54059032189098582.61568000944478342.58830953382595922.55460197876694522.4547860156505832.48765314561412782.49395685868512022.36341816878781862.41868670266492192.3688109641692632.63574990291053932.63681474587132312.63661962158011682.60844734092353822.67015277122042522.89903292646388612.94801498678943122.94286480460750882.93643170214463823.10021118033175423.15319688961480443.15240543719550333.13728965312415883.01234709268848773.14621880983465773.36402524560189423.50888353670275513.54337235298501393.80026684857642534.00504422771194693.97340437831303554.17542815052398364.23491129995634453.98209133026025434.24563011658820873.9101361791452924.10291762318567794.16478551802568034.05487682820499014.57585956772327764.79504781687677894.90841233736339174.8249349687418274.84966276045666965.06153967679823325.28538626900464875.48160094885518135.36764942833037844.15812477674810673.85755056913610784.12881738270832884.3141228356616614.53713278740551654.46182092026737644.51083848489743214.51285934053866634.74506400504674364.71055315453803844.57862469233889344.74897700264205284.83273471003764854.75341986797649614.85359819169413335.17443559295967155.08933682519785795.19857944015073065.44917176348376935.66353128231567655.63597253909591616.07068073700893956.20500668967673896.19586050981614466.01443951822821446.12158675824543776.23358118798757045.79651364299181725.88288749278603886.02490039686188265.85448006423623656.37515410322917396.34840395661202546.28869721740008815.71079109790989045.40330497282512835.33574204744492245.68653507261213955.85436178221015446.14168214975744856.60751031577010566.79861933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28033280622809428125281562818428215282442827628306283352836828398284292845928489285212854928580286082864128671287022873328762287942882428853288862891428944289752900629035290672909829126291592918929220292512928029311293412937129402294332946229494295252955329586296162964429676297062973529767297982982929859298892992029951299803000830041300713009930132301623019430224302533028530316303473037530406304353046730497305263055930589306203065030680307123074130771308023083330862308943092530953309863101631047310783110631135311673119831226312593128931320313513138031412314433147131502315323156231593316243165331685317163174431777318073183531867318973192631958319893202032050320803211132142321713220232233322623229432324323533238632416324473247732507325393256732598326263265932689327203275132780328123284232871329043293232962329933302433053330853311633144331773320733238332693329733325333583338933417334503348033511335423357133603336343366233694337243375333785338163384733877339073393833969339983402634059340893411734150341803421234242342713430334334343653439334424344533448534515345443457734607346383466834698347303475834789348173485034880349113494234971350033503335062350953512435153351853521635244352773530735338353693539835430354613548935520355503558035611356423567135703357343576235795358253585335885359153594435976360073603836068360983612936160361893621736250362803630836341363713640336433364623649436525365563658536616366443667736707367383676936798368303686036889369223695036980370113704237071371033713437162371953722537256372873731537343373763740737435374683749837529375603758937621376523768037711377413777137802378333786237894379253795337986380163804438077381073813538168381983823038260382893832138352383833841138442384713850338533385623859538625386563868638716387483877638807388353886838898389293896038989390213905139080391133914139171392023923339262392943932539353393863941639447111.15441200000000291.32352989476399751.32352989476399751.32352989476399751.42647140291895381.41176590922626291.50000127855290381.50000127855290381.50000127855290381.52941330362276971.59558948785722341.66176656186610441.80882625552500082.08088638613975352.01471003728773822.0220637289238372.0220637289238372.23530045945750062.57353718378077152.50000865290297772.50000865290297772.61030403465174432.61030403465174432.77206979628718212.51471638053947322.30883403574832572.35295123650340272.39706907218784342.75001112530770892.85295229176135212.85295229176135213.41913208587055944.63237349608878375.22061081211612085.07355142614962244.19119487697364964.70590294623016714.85296241329985995.07355381979640455.07355381979640453.97060888135704374.26472776363468944.85296592880057094.55884707571969375.14708423159393655.66179265475335845.77209003746060746.21326819529386226.50738567185444166.36032526305619866.47061966344288837.24268106044554657.20591721138272867.72062867187458937.79415993934550327.61033467717602727.24268701925634957.24268701925634956.91180486278162847.57357561936865058.67652301039293058.3088727008735137.61033746403840457.68386854461594657.16915692628628427.61033250521610957.53680147255071647.42650791980140757.09562728594258917.24268416144373728.19857361707108199.154461712232633310.25740956824586911.50741852787054911.36035371908437212.35301006670427514.33831172656451814.44860202036528914.632431583870413.52948278837314.0809580363098715.1471400169031818.3089237297515319.26481432875813120.07364755835097719.48540939030099419.66923474248920619.00746333957815918.41922036414488818.56627941953222619.11775361713063118.75010009731955718.41921708090212919.15451222677177219.37509558957523119.30156710181288919.00744982231541918.933929006402720.73541661564588222.13248604554162926.94869206893978127.20605207819822627.35310078968090531.61783214620323131.02958237912301730.00017598369570830.44135857171188138.52962754421579238.60314207357016236.32370374041001133.16190694832601340.58841652368274645.88256663294933442.79430283801896542.05901112665593243.75020396405876341.54431868019091242.64727879683130938.60312264308541342.27960683736754540.29428333910531341.47075552975713545.58842831706224549.41197538844248551.76492424446491549.70607791248983950.1472690600408751.47080593234255758.2355624852245258.67675510661257562.05911797797821148.89730994161864442.64725578488098343.38253712186810444.55902814607605246.32374389677325250.36789938644934555.51499502475060457.72088335205911161.02973299021601263.97093891221333563.60329792628483170.58865732763457969.48570955689039969.11806066762507369.11806066762507372.42688046790563369.48569727898441872.79453669771264492.27995989734596194.48582005873214596.691686013823258110.29465916899238117.27995081814169126.83885320957454125.14771077973128121.32419791998888127.57421397583744109.63294196755896106.2505464419762798.89758362600562798.529981307667541105.14764897221596105.88294648147864102.9417299941164694.11818254940045886.39757391669061887.50052534531127493.30942272141021598.162352487727958108.82415824083019118.75066265892572118.01535855574147119.485947938704631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Quantitative Managers
12
Finding statistical relationships
Momentum
Short and long term returns negatively predict returns but
intermediate returns predict continuation
Reversal
Stocks doing well tend to do worse than average over the long
term
Sources: Jegadeesh and Titman (1993, 1999), Debondt and Thaler
(1985)
Quantitative Managers
13
Post Earnings Announcement Drift
A stock's price jumps after an earnings surprise and tends to
continue in the same direction over the following months
The January Effect
Small stocks give excellent returns from the end of December
through January
Sources: Ball & Brown (1968), Rozeff & Kinney (1976)
By The Time We Know Buffett Has Alpha, Hes Ready To Retire
15
Source: CRSP Database
Buffett Annualized Returns
1976 - 19861986 - 19961996 -
20060.440.280000000000000080.12000000000000002Market Average
Annualized Returns
1976 - 19861986 - 19961996 -
20060.140000000000000010.140000000000000019.0000000000000024E-2
Daily Returns Before And After Anomalies Were First
Published
16
Sources: Marquering et al (2006)
Before
Holiday EffectSize EffectJanuary
Effect2.8399999999999996E-31.2300000000000021E-31.4000000000000028E-3After
Holiday EffectSize EffectJanuary
Effect6.40000000000002E-45.6000000000000093E-4-2.7000000000000087E-4
Behavioral Approach To Asset Management
Roulette Anyone?
19
Roulette is a casino game where a wheel and a ball are spun in
opposite directions and eventually, the ball falls into a space.
Bets can be placed on whether the ball will fall into a red, black,
or green space.
There are 18 red spaces,
18 black, and 1 green
Question:
Youre in Vegas and walk up to roulette tables with the 5
previous spins posted as:
Which table would you feel more comfortable placing a bet on
black?
20
Table 1Table 2292736317265129
Representativeness Heuristic
Representativeness Heuristic
Belief that even small samples should be representative of the
population
People also think that the recent past is indicative of the
future
The Gamblers Fallacy says:
5 reds in a row in a fair gameblack is due!
21
Question:
(1) Write down the last 4 digits of your SSN
(2) Do you think that a Gronitz PCM-5 CC Tuba costs more or less
than this number?
(3) What is your best estimate of the cost of a Gronitz PCM-5 CC
Tuba?
22
Anchoring
The tuba costs ~$12,000 according to www.tubaexchange.com
Any arbitrary number can influence your guess by anchoring you
to that number
23
What Is Your 90% Confidence Interval For These Questions?
Lower Upper
Length of the Nile River (miles) ____ ____
Diameter of the Moon (miles) ____ ____
Weight of an empty Boeing 747 (lbs) ____ ____
Year in which Mozart was born ____ ____
Number of countries in OPEC ____ ____
24
Source: Fuller (2008)
Answers:
Length of the Nile River (miles) 4,187
Diameter of the Moon (miles) 2,160
Weight of an empty Boeing 747 (lbs) 390,000
Year in which Mozart was born 1756
Number of countries in OPEC 13
Were these answers within your range?
25
Source: Fuller (2008)
Immediate Gratification
27
Biases Are Not Always Arbitraged Away
Arbitrage Concentrates In Only A Few Markets
What would you get if you converted:
Arbitrage is concentrated in bonds and exchanges and little in
stocks
There is low cost and risk
There is high leverage
30
?
Source: Shliefer and Vishny (1997)
$1
$
Arbitrage Doesnt Necessarily Correct Mispricing
Professionals made big profits off the internet bubble buying
and selling at the right time
Everyone believed the prices were too high but forecasted even
higher prices in the future
31
Source: Brunnermeier, and Nagel (2004)
Behavioral Effects Can Be Hard To Arbitrage
Stocks have outperformed bonds over the last century by too high
a margin
Myopic loss aversion
Investors are very sensitive to losses, and even long-term
investors focus on short-term losses, hence demanding a very high
equity premium
How would you arbitrage myopic loss aversion?
32
Source: Benartzi and Thaler (1995)
Long Term Capital Management
33
Source: Lowenstein (2001)
Arbitraged similar bonds (30 yr & 29.5 yr) and figured they
would converge in the long run
Annual returns were > 40%!
Lost $4.6B over 4 mos in 1998
Eventually, the bond prices did converge but LTCM went bankrupt
waiting
Example Of Implementing A Behavioral Approach
Mental Mistakes Made By Investors
Under-reaction to new information
Foundation of the growth process
Over-reaction to old information
Foundation of the value process
35
Source: Fuller (2008)
Causes Of Under-Reaction
Anchoring
Individuals are tied to their previous opinions, causing
under-reaction to new information, resulting in biased
expectations
Overconfidence
Individuals place too much confidence in existing knowledge,
causing under-reaction to new information
36
Source: Fuller (2008)
Analysts Under-React to Earnings Surprises
Analysts are surprised again and again when growing companies
outperform forecasts
Surprises are greater when earnings increases are permanent
(i.e., success of a new product) versus temporary (i.e., change in
exchange rate)
37
Analysts Revisions For Fiscal Year 1 Earnings
38
Source: Fuller & Thaler (2008)
Permanent351553524635338354303552035611357033579535885359763606836160362503634136433365253661636707367993689136981370723716437256373463743737529376213771137802378943798638077381683826038352384423853338625387173880738898389903908239172392633935539447395380.144230769230769197.8316326530612421E-26.539558089807565E-27.1428571428571438E-20.22342995169082155.1051051051050997E-28.6956521739130557E-26.7164179104477598E-20.181159420289854886.4583333333333548E-25.1315789473684204E-22.6959357167811827E-20.191406250000000395.1787994891443374E-26.5789473684210523E-28.9973349675065567E-20.183692596063730068.9975093399751252E-29.6284987277353656E-29.7112860892388395E-20.20001586797841956.6852886405958961E-26.9306930693069452E-28.838709677419368E-20.139225181598063449.2307692307692618E-28.035714285714303E-28.4033613445378089E-20.106870229007633677.1690502383571664E-20.103553921568627579.5808383233533009E-20.191919191919192430.10638297872340428.2951070336391527E-20.104166666666666770.166666666666666668.4856541486651518E-28.5106382978723735E-27.2970612678007099E-20.149673579109062879.4720496894410297E-27.6923076923076955E-26.6666666666666596E-20.130158730158730086.194224975842666E-26.7567567567567502E-28.5972850678733004E-20.1363636363636363Temporary351553524635338354303552035611357033579535885359763606836160362503634136433365253661636707367993689136981370723716437256373463743737529376213771137802378943798638077381683826038352384423853338625387173880738898389903908239172392633935539447395380.117971014492753552.4390243902439001E-22.0408163265306138E-23.0769230769230722E-20.132591093117409382.2222222222222227E-22.5438809350481248E-22.0067114093959715E-28.1196116786205849E-21.9615384615384642E-27.4134199134198702E-34.5643584944894521E-36.83760683760683E-21.7700501253132883E-22.5000000000000015E-22.6315789473684213E-20.104799452870418791.4141414141414106E-22.7932960893854768E-21.7070685011283372E-25.0858167283841821E-200-1.0416666666666699E-25.0911018613052653E-22.7027027027027094E-21.3528954705425275E-21.6129032258064516E-21.6950369891546316E-28.0298786181139028E-32.4590163934426198E-22.3041474654377801E-27.8651685393258397E-24.6511627906976896E-23.8835026161895964E-23.4313725490196005E-28.6057692307692821E-22.7984100616991019E-23.8237125683651958E-22.5657894736842102E-20.104294478527607613.2529069767441854E-23.1638458474204066E-22.9411764705882311E-28.7136929460580992E-22.9198635976129598E-23.2352941176470605E-22.9411764705882311E-28.4375000000000047E-2
Causes Of Over-Reaction
Representativeness
People tend to infer that a single observation represents the
entire population (stereotyping)
Saliency
People tend to over-estimate the probability of a low frequency
event (earthquakes)
Prospect Theory
Investors may be irrationally risk averse in the domain of
losses
39
Source: Fuller (2008)
Fuller and Thaler Asset Management Fund Performance
40
Source: Fuller & Thaler (2008); See important disclosure on
last page of presentation
3 Month
T-Bill365853661636646366773670736738367693679936830368603689136922369503698137011370423707237103371343716437195372253725637287373153734637376374073743737468374993752937560375903762137652376803771137741377723780237833378643789437925379553798638017380463807738107381383816838199382303826038291383213835238383384113844238472385033853338564385953862538656386863871738748387763880738837388683889838929389603899039021390513908239113391413917239202392333926339294393253935539386394163944739478395073953839568395993962939660396914.2639970000000194E-38.9779971379582487E-31.3714124721853961E-21.8669218158913425E-22.344780055464309E-22.8406428687629617E-23.350223704731748E-23.8642885442408792E-24.4084345905670362E-24.9423750443173833E-25.4939581492656993E-26.0387317974853832E-26.4966070413869384E-26.9659427004554519E-27.3763698459717628E-27.7691586199450061E-28.1153104632032833E-28.4547896189443972E-28.7844874073752244E-29.0966949699928398E-29.3819800999220299E-29.6147455004845353E-29.8070146967559654E-29.9784284978202506E-20.101253573687463360.102877897379819980.10446938106632020.106119513545102320.107711191872105660.109333947782884610.110938054655383590.112470052674948070.114016363798764950.115437866503234250.116771960308394540.117993690629588890.119021108943378560.120150186695027850.121214305849234480.122297346171612520.123322030583803190.124301585367624590.12522690918271540.126080963158146380.126990837702459670.127874443598851690.128771111676633880.129663917702498990.130489691859364570.13137940985665120.132246090608398560.133159866419085370.134084511272164920.135163025642384580.136390136873104530.13774238090730670.139263542470579040.140883632191149410.142760350398711210.144805891425925120.146819604988942980.149223338881000560.151730944206438540.154466305198929070.15718160994875580.160103493513876980.163196329427585110.166375344995910890.169806821260888670.173289336167783140.177040342175511320.180979896200772260.184722421491832930.189103525006509180.193532935637158450.198229487738891040.202861842938488970.207788765047165450.212837322085062760.217808742268289060.222932063647011790.227910620078118690.233069072593066940.238291120115498830.243037489978901430.248352718286050770.25352339524519180.258800728739174310.263788097226438810.268883690834457120.274030283084481070.278818088888312280.283430785734932520.287553165418712340.291486640339067790.29522032821628680.298060746396065390.300628310552436380.302443987673968070.304117628198128260.305758208174402520.307613690588217410.30957249589671954Large
Cap Market Neutral (Net of
Fees)365853661636646366773670736738367693679936830368603689136922369503698137011370423707237103371343716437195372253725637287373153734637376374073743737468374993752937560375903762137652376803771137741377723780237833378643789437925379553798638017380463807738107381383816838199382303826038291383213835238383384113844238472385033853338564385953862538656386863871738748387763880738837388683889838929389603899039021390513908239113391413917239202392333926339294393253935539386394163944739478395073953839568395993962939660396917.8493230000000989E-31.5428033444272685E-24.8564382731719896E-22.4739766844341204E-2-5.7006648934078367E-31.1338321653628703E-2-4.2278958015340429E-41.803225851755564E-22.0299353239274186E-22.6556130881945982E-2-4.5824177937749018E-32.634621882505371E-20.108504634255807590.154738841682259519.2195585544876751E-27.8825089923778402E-29.8304773252751776E-28.041745881395411E-20.105400208853464240.105818780801949060.107997650741440679.5787247386840704E-20.119960258179044650.165185832548278460.189444493560911560.173080117407944210.182176598254846750.208626038197668280.200699236527750040.186506605338724540.215914905999633870.177773338224654880.194414690140420790.241453176049702960.242164579619159190.239354910166214910.224556153665877560.239327815355249160.242703839752518910.257242328904682850.250316410990093720.23948233926861370.266326825905155770.237891559601927340.243203091089059910.254194842625252710.270366177578705120.286241185291297330.286202922188517390.275561135164711310.264894061286604750.243280277616529480.251431527720251460.259847870276698420.252870740802212170.261840577411420810.288769117170494920.298975888915587520.304100544942717880.283240063946977320.305055166849157570.309039522459485070.318246274937321380.333388229043120930.323494388379504230.334682091586105570.356918849529626160.381691608120918850.371953704043213320.353244981900575070.371514929941753340.423656282091454340.414987893824274980.444872460781649550.45417240549342880.457392042082914780.459317592170677020.497236882826848860.484447094594914420.501189680538415620.520133269677803160.543193960442404090.558497495506961480.56455661271900870.563111281578404950.595776480866975210.610740263633916980.639432510419986720.660151086324730190.667406095985565220.642645378910344230.650677673344346560.63655807694989530.687315403644467640.702527166191128980.713659499300503990.688805524435373350.72982514305190660.726904006360912680.744205950853457640.784870030015701880.842134895129619030.79531480962881163
Disclosure Statement
41
Fuller & Thaler Asset Management, Inc. claims compliance
with the Global Investment Performance Standards (GIPS). Fuller
& Thaler has been verified for the period from January 1, 1992
through March 31, 2008 by Beacon Verification Services, LLC. A copy
of the verification report is available upon request.
This information is provided solely for general informational
purposes and does not constitute an offer to sell or a solicitation
of an offer to buy or sell any product or service to any person or
in any jurisdiction where such offer or solicitation would be
unlawful. Fuller & Thaler is an independent investment
management firm registered with the U.S. Securities and Exchange
Commission that manages primarily equity assets for primarily
institutional investors. Fuller & Thaler seeks to identify
mis-priced securities by exploiting insights from the field of
behavioral finance. The firm changed its name from RJF Asset
Management, Inc. to Fuller & Thaler on December 14, 1998. The
firm was called RJF Asset Management, Inc. as of April 5, 1993 to
December 13, 1998. The investment philosophy has remained constant
throughout the firms history.
*Assets in a composite may exclude accounts in a strategy that
do not comply with the composites account inclusion criteria.
Market Neutral Composite is primarily invested in the equities
of the top 1,500 U.S. companies ranked by market capitalization and
liquidity. The composite has a $10 million account minimum and was
created in February 2000. The composite is an un-levered version of
the market neutral strategy which employs a long/short strategy
managed with minimal net dollar exposure and minimal net beta
exposure and is measured against the Citigroup BIG Treasury Bill (3
M) (LOC) Index. The standard advisory fee is a 1.0% per annum
management fee and a performance fee of 20% of the profits in
excess of a T-Bill hurdle subject to a high water mark. For the
period February 1, 2000 through April 30, 2000 the composite
returns represent the performance for the long and short equities
carved-out of a market neutral account passively equitized with
S&P 500 futures (S&P 500 futures were purchased and
"rolled" on a quarterly basis to maintain a passive exposure to the
S&P 500 index). The composite returns were derived by excluding
the futures positions from this equitized market neutral account.
The carve-out received a 100% cash allocation.
Pricing of Royal Dutch Relative to Shell
(Deviation from partiy)
-10%
-5%
0%
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10%
15%
20%
Jan-90
May-90
Oct-90
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Oct-97
Mar-98
Aug-98
Dec-98
May-99
Oct-99
Mar-00
Aug-00
Jan-01Jun-01Nov-01
Apr-02
Aug-02
Deviation
Chart132874.032875.032876.032877.032878.032881.032882.032883.032884.032885.032888.032889.032890.032891.032892.032895.032896.032897.032898.032899.032902.032903.032904.032905.032906.032909.032910.032911.032912.032913.032916.032917.032918.032919.032920.032923.032924.032925.032926.032927.032930.032931.032932.032933.032934.032937.032938.032939.032940.032941.032944.032945.032946.032947.032948.032951.032952.032953.032954.032955.032958.032959.032960.032961.032962.032965.032966.032967.032968.032969.032972.032973.032974.032975.032976.032979.032980.032981.032982.032983.032986.032987.032988.032989.032990.032993.032994.032995.032996.032997.033000.033001.033002.033003.033004.033007.033008.033009.033010.033011.033014.033015.033016.033017.033018.033021.033022.033023.033024.033025.033028.033029.033030.033031.033032.033035.033036.033037.033038.033039.033042.033043.033044.033045.033046.033049.033050.033051.033052.033053.033056.033057.033058.033059.033060.033063.033064.033065.033066.033067.033070.033071.033072.033073.033074.033077.033078.033079.033080.033081.033084.033085.033086.033087.033088.033091.033092.033093.033094.033095.033098.033099.033100.033101.033102.033105.033106.033107.033108.033109.033112.033113.033114.033115.033116.033119.033120.033121.033122.033123.033126.033127.033128.033129.033130.033133.033134.033135.033136.033137.033140.033141.033142.033143.033144.033147.033148.033149.033150.033151.033154.033155.033156.033157.033158.033161.033162.033163.033164.033165.033168.033169.033170.033171.033172.033175.033176.033177.033178.033179.033182.033183.033184.033185.033186.033189.033190.033191.033192.033193.033196.033197.033198.033199.033200.033203.033204.033205.033206.033207.033210.033211.033212.033213.033214.033217.033218.033219.033220.033221.033224.033225.033226.033227.033228.033231.033232.033233.033234.033235.033238.033239.033240.033241.033242.033245.033246.033247.033248.033249.033252.033253.033254.033255.033256.033259.033260.033261.033262.033263.033266.033267.033268.033269.033270.033273.033274.033275.033276.033277.033280.033281.033282.033283.033284.033287.033288.033289.033290.033291.033294.033295.033296.033297.033298.033301.033302.033303.033304.033305.033308.033309.033310.033311.033312.033315.033316.033317.033318.033319.033322.033323.033324.033325.033326.033329.033330.033331.033332.033333.033336.033337.033338.033339.033340.033343.033344.033345.033346.033347.033350.033351.033352.033353.033354.033357.033358.033359.033360.033361.033364.033365.033366.033367.033368.033371.033372.033373.033374.033375.033378.033379.033380.033381.033382.033385.033386.033387.033388.033389.033392.033393.033394.033395.033396.033399.033400.033401.033402.033403.033406.033407.033408.033409.033410.033413.033414.033415.033416.033417.033420.033421.033422.033423.033424.033427.033428.033429.033430.033431.033434.033435.033436.033437.033438.033441.033442.033443.033444.033445.033448.033449.033450.033451.033452.033455.033456.033457.033458.033459.033462.033463.033464.033465.033466.033469.033470.033471.033472.033473.033476.033477.033478.033479.033480.033483.033484.033485.033486.033487.033490.033491.033492.033493.033494.033497.033498.033499.033500.033501.033504.033505.033506.033507.033508.033511.033512.033513.033514.033515.033518.033519.033520.033521.033522.033525.033526.033527.033528.033529.033532.033533.033534.033535.033536.033539.033540.033541.033542.033543.033546.033547.033548.033549.033550.033553.033554.033555.033556.033557.033560.033561.033562.033563.033564.033567.033568.033569.033570.033571.033574.033575.033576.033577.033578.033581.033582.033583.033584.033585.033588.033589.033590.033591.033592.033595.033596.033597.033598.033599.033602.033603.033604.033605.033606.033609.033610.033611.033612.033613.033616.033617.033618.033619.033620.033623.033624.033625.033626.033627.033630.033631.033632.033633.033634.033637.033638.033639.033640.033641.033644.033645.033646.033647.033648.033651.033652.033653.033654.033655.033658.033659.033660.033661.033662.033665.033666.033667.033668.033669.033672.033673.033674.033675.033676.033679.033680.033681.033682.033683.033686.033687.033688.033689.033690.033693.033694.033695.033696.033697.033700.033701.033702.033703.033704.033707.033708.033709.033710.033711.033714.033715.033716.033717.033718.033721.033722.033723.033724.033725.033728.033729.033730.033731.033732.033735.033736.033737.033738.033739.033742.033743.033744.033745.033746.033749.033750.033751.033752.033753.033756.033757.033758.033759.033760.033763.033764.033765.033766.033767.033770.033771.033772.033773.033774.033777.033778.033779.033780.033781.033784.033785.033786.033787.033788.033791.033792.033793.033794.033795.033798.033799.033800.033801.033802.033805.033806.033807.033808.033809.033812.033813.033814.033815.033816.033819.033820.033821.033822.033823.033826.033827.033828.033829.033830.033833.033834.033835.033836.033837.033840.033841.033842.033843.033844.033847.033848.033849.033850.033851.033854.033855.033856.033857.033858.033861.033862.033863.033864.033865.033868.033869.033870.0338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&A
Page &P
Deviation
Pricing of Royal Dutch Relative to Shell(Deviation from
partiy)
0.033862671020895976
0.045171182774051744
0.03844982468547263
0.03993908057190544
0.044557508479802485
0.0403726708074532
0.039326461389366005
0.0400665642601126
0.03796459295180525
0.03590378893301195
0.03988919982708781
0.04344413350624509
0.040785563272006164
0.036334266147930526
0.028832773308895828
0.03228883150719981
0.03722122915121162
0.04238555325511837
0.03519668737060031
0.030671237371165956
0.02390863838597402
0.020134301707800645
0.021120524312327426
0.01573275616851201
0.01573275616851201
0.017943409247757048
0.013257874326071097
0.02140282288152512
0.02754601627173309
0.020012042083914203
0.0171874666495912
0.021448984360356034
0.029535455486542374
0.02060532351950843
0.013582289480457636
0.013582289480457636
0.016197858592515494
0.024792297349228633
0.019426112836438855
0.018170426065162754
0.03218421023804038
0.0356074797068585
0.041875375676217075
0.03369817189992658
0.026163701211441334
0.029384085650070266
0.030404110114255013
0.029595686834222076
0.0321157448486639
0.07880775986923427
0.07237225901650593
0.07828155958191303
0.0801989878076833
0.07714490478465617
0.07127036339375745
0.07832988267770868
0.08842120510918461
0.0836454232152192
0.07900459187804339
0.07423103759880115
0.07174896796215155
0.06822347793596026
0.06374898730758838
0.07407611588213593
0.08254840397697517
0.09233605508642136
0.08780970582212802
0.08551874856222672
0.08425555985262702
0.10135040826296317
0.09277848832057817
0.09277848832057817
0.09295130481571147
0.09640272050524445
0.09640272050524445
0.09960569474492277
0.09158309911285382
0.09703907622574451
0.09277848832057817
0.09339442813197128
0.08636834180312436
0.0856530892647176
0.09065365276545394
0.1007815458969198
0.09654235078767699
0.10103156441829216
0.09024760947354556
0.08742245461459905
0.09804791481810107
0.09098228663446038
0.09500779666195494
0.0895599966785622
0.09707715974415024
0.10324051457417348
0.08836303897740565
0.08990832773103966
0.09187933207309383
0.07602329469337145
0.07149268711674567
0.0714833437400725
0.0703186518059789
0.04847538833425457
0.05094372692716375
0.05797967258213962
0.048832342661234554
0.048832342661234554
0.04642151426246699
0.0417005409038187
0.04541244415386276
0.03887219774764703
0.044325022636097965
0.04123242153873304
0.04702353124513007
0.051546009783255714
0.04457104288365863
0.04243951214552321
0.03179143510951276
0.03617988388667617
0.033562166285278194
0.03725064905189126
0.03796459295180525
0.026980840645436772
0.026980840645436772
0.027345232335693144
0.015391459964208211
0.012839690850161975
0.008916565281423972
0.016672624478476252
0.02935213030281563
0.024980930587337757
0.02022438774645364
0.013311945434186696
0.013311945434186696
0.006711481948487364
0.012686551069703175
0.006337209650651954
0.008203713286866633
0.010109012549118921
0.008932414980628436
0.004940938778367745
-0.004675720922860699
0.001815344915533807
-6.1815056888703E-4
0.002207612041722338
-0.0025757385312145907
-0.010839703774486405
-0.015207141641081208
-3.728670532709297E-4
1.094919573179659E-4
0.0070370627551075956
0.01054914719510986
0.010616099112034573
0.004024128707861023
0.01130606871208433
0.0018032458425163945
-0.0059759081498213075
-0.003386525575458958
-0.01752166244919871
-0.006767477409492889
-0.016893040640219414
-0.004993805571863436
-0.01169582312382479
-0.006977992485238945
-0.021464041890070704
-0.023105744981979585
-0.022224378881987663
-0.027381027832606042
-0.02879574633757685
-0.03778871381999125
-0.029503105590062178
-0.028826972469629696
-0.03034367454092461
-0.03028002902299095
-0.03944200222321007
-0.027998459242139815
-0.027998459242139815
-0.02581481286887694
-0.03666629695356412
-0.03320817605309232
-0.030259080161775864
-0.039749679135868445
-0.033233736156163096
-0.03616234755242726
-0.03616234755242726
-0.029444553741229038
-0.025189786059351252
-0.046175922673697606
-0.044935760722163036
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