LASSO Returns & Statistics

LASSO Composite (net) vs. S&P 500 vs. Barclays Capital U.S. Aggregate Bond Index

Inception of LASSO from December 31, 1998 through October 31, 2017 (based on monthly data)

Trailing Returns (periods greater than 1 year are annualized)
1 Mo 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr Incept
LASSO 0.5% 1.4% 3.0% 5.7% 2.2% -0.6% 2.9% 3.1% 2.3% 4.5%
S&P 500 2.3% 4.8% 9.1% 23.6% 13.7% 10.8% 15.2% 14.2% 7.5% 6.0%
Barclays Capital U.S. Aggregate Bond 0.1% 0.5% 1.6% 0.9% 2.6% 2.4% 2.0% 2.9% 4.2% 4.8%
Statistical Analysis
Return LASSO S&P 500 BC AGG Risk LASSO S&P 500 BC AGG
Annualized Compound ROR 4.5% 6.0% 4.8% Standard Deviation 6.6% 14.5% 3.4%
Cumulative Return 128.3% 199.5% 142.6% Sharpe Ratio (0.1%) 0.52 0.39 1.05
Cumulative VAMI $2,283 $2,995 $2,426 Sortino Ratio (0.1%) 0.87 0.56 1.79
Best Month 12.4% 10.9% 3.7% Downside Deviation (0.1%) 3.9% 10.2% 2.0%
Worst Month -5.1% -16.8% -3.4% Comparison To Benchmarks
% Positive Months 61.1% 63.3% 66.8% Alpha 0.2% 0.4%
Average Monthly Return 0.4% 0.6% 0.4% Annualized Alpha 2.8% 5.5%
Average Gain 1.5% 3.0% 0.9% Beta 0.34 (0.09)
Average Loss -1.3% -3.7% -0.6% Correlation 0.75 (0.05)
Maximum Drawdown -23.4% -51.0% -3.8% R-Squared 0.56 0.00
Drawdown Analysis
Five Largest Drawdowns
LASSO S&P 500
Depth Length Recovery Peak Valley Depth Length Recovery Peak Valley
-23.4% 16 20 10/07 02/09 -51.0% 16 37 10/07 02/09
-11.4% 21 13 12/00 09/02 -44.7% 25 49 08/00 09/02
-9.5% 5 15 04/11 09/11 -8.4% 2 8 07/15 09/15
-6.8% 18 38 08/14 02/16 -6.8% 2 1 12/99 02/00
-5.2% 6 4 02/04 08/04 -6.6% 2 3 03/12 05/12