Proceedings

Issuers
Reverse of the historical
volatility
APPENDIX 15
Short Portfolio – Consumer and Health
Short Portfolio – Consumer and Health
Percentage in
portfolio
Return 2009 Sharpe Sortino
ASB 0.067878453 1.81% -0.21% 0.2781 1.6364
BAI 1.65379711 44.10% -1.73% -0.3703 1.1198
CAR 0.08628845 2.30% -0.80% 0.1049 2.7965
DIA 0.104599189 2.79% -0.34% 0.5418 2.7262
ICO 0.20627226 5.50% -2.55% 0.1863 3.3631
KIN 0.047856299 1.28% -0.67% 0.7964 3.7658
MAS 0.028116616 0.75% -0.47% -0.0344 1.9630
NEX 0.0657654 1.75% -1.15% 0.2173 4.0763
WHI 0.082041483 2.19% -0.94% 0.0634 2.9462
WOL 0.132581657 3.54% -4.16% 0.4147 5.3919
ACO 0.053647824 1.43% -0.12% -0.2343 0.8441
LVM 0.034355041 0.92% -0.45% 0.1120 2.1253
MIC 0.02449765 0.65% -0.23% -0.0960 1.1839
PER 0.041080512 1.10% -0.13% -0.1264 0.8294
PIP 0.024090464 0.64% -0.38% -0.0809 1.5868
REN 0.011639419 0.31% -0.21% -0.2972 0.8763
DPO 0.028210338 0.75% -0.09% -0.3306 0.5660
LUF 0.056710993 1.51% -0.07% -0.3812 0.7549
AUG 0.033813984 0.90% -0.44% -0.0906 1.8048
BUL 0.030128833 0.80% -0.22% -0.2144 1.0467
GEO 0.01555927 0.41% -0.04% -0.4831 0.1890
LOT 0.151319161 4.04% 0.92% -1.8141 -1.1365
LUX 0.044147036 1.18% -0.41% 0.2477 2.1071
AST 0.040191611 1.07% -0.04% 1.1744 2.2830
GLA 0.371314234 9.90% -0.27% -0.1769 1.1701
SAN 0.089951668 2.40% -0.46% 0.6762 2.7014
FRM 0.109384875 2.92% -0.30% 1.0265 3.6298
MER 0.046398123 1.24% -0.01% 0.3080 0.8698
EGP 0.06827401 1.82% -1.15% -0.1901 2.4934
Portfolio total results -17.14% -0.1480 1.6868
(Source: Developed by the author based on data’s supplied by Teletrader Software AG)