Trebizond Risk Team

Trebizond Investments Performance Sheet

(Period between February 22-March 28, 2012)

Trebizond vs. S&P 500

2.00%

1.50% 1.00%
0.50% % Gain 0.00% 3/1/2012 3/3/2012 3/5/2012 3/7/2012 2/22/2012 2/24/2012 2/26/2012 2/28/2012 3/9/2012 3/11/2012 3/13/2012 3/15/2012 3/17/2012 3/19/2012 3/21/2012 3/23/2012 3/25/2012 -0.50% -1.00% -1.50% -2.00%
*COP options cost is not taken into account on this data. S&P 500

3/27/2012

Trebizond Investments

Beta R-Squared Alpha Sharpe Ratio Findings

0.55949 0.35713 -0.0033 1.90117

- Our systematic risk indicator beta of 0.56 shows that Trebizond has been less volatile than the S&P 500 market as a whole. As seen on the chart, this figure helped us in preventing big losses when market was performing poorly, but also caused us to not realize the full upwards movement on certain days. - Although beta indicates our small volatility, the R-squared value of 0.36 (between 0-1) allows us to realize that we cannot relate Trebizond's whole volatility to the market. Beta is still a less reliable risk measurement figure for our portfolio. It is seen that our individual decisions, combined with our short rime horizon have played a significant role in our returns so far.

Trebizond Risk Team

- The R-squared value also justifies our decision to allocate a certain portion of our fund to follow the benchmark itself. It is argued that an r-squared value less than .70 would not perform like the market. Therefore our decision can be seen as a successful one in diversifying our portfolio. At the same time, our fund becomes much more exposed to the downward movements in the markets, such as the most recent one last week. - Our Alpha value of -0.0033 indicates that our portfolio has been very close to neither under nor overperforming the benchmark index, when evaluated on a risk-adjusted basis. Since Alpha takes the risk-free rate of return into account, the negative value can be seen as a warning of underperformance based on our decisions to allocate the fund and strategy. The more positive our alpha is, the better Trebizond portfolio will look like. We need to be able to show that what Trebizond does is better than putting the money in a bank, or following the benchmark itself. - The Sharpe ratio describes how much excess return Trebizond is receiving for the extra volatility that it endures for holding a riskier asset. The ratio of 1.90 is a positive indicator that supports our investment decisions in the overall monthly period. Trebizond returns have not come with too much additional risk. However, our Sharpe ratio will make more sense when we compare the value to other funds with similar investment strategies. - The performance report supports the idea that Trebizond does not seem to be a heavily risktaking group, which has also been discussed in our meetings. This report can function as a helpful guide when we further develop our strategy.