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Barclay Systematic Traders Index

An equal weighted composite of managed programs whose approach is at least 95% systematic. In 2007 there are 390 systematic programs included in the index.

1980 - 1990 34.58% 2000 9.89%
1981 - 1991 13.37% 2001 2.99%
1982 - 1992 3.25% 2002 12.09%
1983 - 1993 8.19% 2003 8.71%
1984 - 1994 -3.18% 2004 0.54%
1985 - 1995 15.27% 2005 0.95%
1986 - 1996 11.58% 2006 2.10%
1987 63.01% 1997 12.76% 2007 8.72%
1988 12.22% 1998 8.12% 2008 18.16%
1989 1.18% 1999 -3.71% 2009 -2.62%
Estimated YTD performance for 2009 calculated with reported data as of July-2-2009 23:32 US CST

At a Glance from Jan 1987

Compound Annual Return 11.50%
Sharpe Ratio 0.43
Worst Drawdown 22.07%
Correlation vs S&P 500 -0.05
Correlation vs US Bonds 0.17
Correlation vs World Bonds 0.15