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P Momentum Hedge Fidelity Select 130 Days EMA SPY Hedge live

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Performance: From 12/31/1993 To 05/28/2010

	1993	1994	1995	1996	1997	1998	1999	2000	2001	2002	2003	2004	2005	2006	2007	2008	2009	2010	1 Yr	3 Yr	5 Yr	Inception
Annualized Return (%)	0	-5.16	47.3	25.52	-5.06	-22.01	-3.2	12.15	3.6	18.83	-8.67	3.55	29.28	-4.13	5.44	-2.45	-3.73	0.81	9.02	1.04	5.65	5.1
Sharpe Ratio (%)	NA	NA	196.57	182.42	-41.09	-343.92	-76.85	31.81	7.21	91.47	-89.36	26.63	143.53	-92.78	14.53	-14.31	-21.7	4.19	56.2	0.7	21.89	16.39

From 12/31/1993 To 05/28/2010

	1993	1994	1995	1996	1997	1998	1999	2000	2001	2002	2003	2004	2005	2006	2007	2008	2009	2010	1 Yr	3 Yr	5 Yr	Inception
Annualized Return (%)	0	-5.16	47.3	25.52	-5.06	-22.01	-3.2	12.15	3.6	18.83	-8.67	3.55	29.28	-4.13	5.44	-2.45	-3.73	0.81	9.02	1.04	5.65	5.1
Sharpe Ratio (%)	NA	NA	196.57	182.42	-41.09	-343.92	-76.85	31.81	7.21	91.47	-89.36	26.63	143.53	-92.78	14.53	-14.31	-21.7	4.19	56.2	0.7	21.89	16.39
Alpha(%)	NA	NA	-0	0.07	-0.09	-0.07	0.02	0.1	0.03	0.03	0	0.03	0.11	0.02	0.03	-0.02	-0.01	0.01	0.01	0.01	0.02	0.02
Beta	NA	NA	1.312	0.51	0.76	0.003	-0.014	-0.011	-0.5	-0.653	-0.295	-0.019	0.596	-0.029	0.471	-0.206	0.053	0.048	0.329	-0.06	-0.034	-0.067
RSquare	NA	NA	0.216	0.247	0.443	0	0.001	0	0.375	0.769	0.232	0	0.106	0.001	0.207	0.128	0.007	0.003	0.144	0.008	0.002	0.006
Standard Deviation	NA	0	0.221	0.121	0.209	0.074	0.084	0.255	0.176	0.194	0.105	0.098	0.189	0.08	0.166	0.236	0.176	0.181	0.159	0.202	0.178	0.166
Treynor Ratio	NA	NA	0.331	0.432	-0.113	-80.312	4.749	-7.594	-0.025	-0.272	0.318	-1.341	0.455	2.594	0.051	0.164	-0.72	0.158	0.272	-0.024	-1.162	-0.41
Draw Down	0	0.143	0.188	0.118	0.252	0.222	0.105	0.296	0.134	0.121	0.115	0.083	0.139	0.096	0.154	0.167	0.139	0.157	0.105	0.201	0.201	0.415
Sortino Ratio	NA	NA	2.833	2.711	-0.513	-3.54	-0.995	0.444	0.101	1.319	-1.155	0.381	2.057	-1.157	0.194	-0.193	-0.297	0.055	0.742	0.01	0.299	0.224

Strategies:

Asset Allocation Srategy

Rebalancing Strategy

STATIC check
parameters getParameter

Cash Flow Strategy

STATIC check
parameters

Asset Allocation Strategy

Momentum Hedge check
parameters getParameter

Asset Name

Asset Type

Strategy Name

Target Percentage

Actual Percentage

Total Amount

Securities

operation

Short

No Class

STATIC check
parameters parameters

100%

Current Securities

Holdings on 05/28/2010

Last Transaction Date		05/18/2010
Starting Date		12/31/1993
Original Amount		10,000
Benchmark		^GSPC
Symbol		P_5266

Historical Info
Monthly Holding Date:

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