The document compares the performance of two investments - CapGuard (M) and MSCI (M). It shows that CapGuard (M) had more months with positive returns (62%) and higher average returns in up months (3.4%) compared to MSCI (M). However, CapGuard (M) also had higher losses in down months with an average decline of -4.2% compared to -4.3% for MSCI (M). Over the full period shown, CapGuard (M) outperformed MSCI (M) with cumulative returns of 61.3% versus 36.9%.

1. Ratio of Up vs. Down Months Cummulative Monthly Returns
$1.0
80%
62% 61%
60%
$0.8
40%
$0.6 61.3%
20%
0%
$0.4
36.9%
-20% 24.39%
-40% $0.2
-38% -39%
-60%
$0.0
CapGuard (M) MSCI (M)
Pos. Hit Neg. Hit -$0.2
Average Up vs. Average Down Months
4.0% 3.4% 3.4% -$0.4
3.0%
-$0.6
2.0%
01/31/01
06/30/01
11/30/01
04/30/02
09/30/02
02/28/03
07/31/03
12/31/03
05/31/04
10/31/04
03/31/05
08/31/05
01/31/06
06/30/06
11/30/06
04/30/07
09/30/07
02/29/08
07/31/08
12/31/08
05/31/09
10/31/09
03/31/10
08/31/10
01/31/11
1.0%
0.0%
-1.0% Confidence Analysis
-7%
-5%
-3%
-1%
1%
3%
5%
7%
-2.0%
123 Months -3.0%
1/0/1900 CapGuard (M) MSCI (M) -4.0%
$1.22
Ann. Mean 4.8% 3.1% -5.0% -4.2% -4.3%
Ann. StdDev 17.0% 16.6%
CapGuard (M) MSCI (M)
Ratio (R/R) 28.1% 18.7%
Alpha 1.7% Ho: α > 0 Avg Up Avg Dn
$1.12
Beta 0.99 Ho: β = 1
Rho/R2 0.97 0.94 (Up * Average Up) / (Down * Average Down)
TE | AS 4.1% 0% 1.34 $1.02
1.32
IR/M2 0.41 0.02
1.32
Skewness -81.8% -70.4%
Kurtosis 2.3 0.9 1.30 $0.92
Drawdown -20.2% -17.6%
∆Mean|∆StDev 1.28
1.5 1.0
Mean Return 0.5% 0.4% 1.26 $0.82
Median Return 1.2% 1.2%
Mean Std 4.9% 4.8% 1.24
1.22
Fees 2.0% 3.0% 1.22 $0.72
2 bps 41 bps
01/31/01
06/30/01
11/30/01
04/30/02
09/30/02
02/28/03
07/31/03
12/31/03
05/31/04
10/31/04
03/31/05
08/31/05
01/31/06
06/30/06
11/30/06
04/30/07
09/30/07
02/29/08
07/31/08
12/31/08
05/31/09
10/31/09
03/31/10
08/31/10
01/31/11
1.20
1.18
1.16
CapGuard (M) MSCI (M) 1-Year Rolling Alpha and Relative Standard Deviation
y = 0.9943x + 0.0014 Market Capture 2.00%
R² = 0.9421
300% 1.50%
1.00% 107%
106%
99%
0.50%
0.00%
0%
-0.50%
-1.00%
-1.50%
-300% -2.00%
1/1/2001
06/30/01
12/31/01
06/30/02
12/31/02
06/30/03
12/31/03
06/30/04
12/31/04
06/30/05
12/31/05
06/30/06
12/31/06
06/30/07
12/31/07
06/30/08
12/31/08
06/30/09
12/31/09
06/30/10
12/31/10
01/31/01
06/30/01
11/30/01
04/30/02
09/30/02
02/28/03
07/31/03
12/31/03
05/31/04
10/31/04
03/31/05
08/31/05
01/31/06
06/30/06
11/30/06
04/30/07
09/30/07
02/29/08
07/31/08
12/31/08
05/31/09
10/31/09
03/31/10
08/31/10
01/31/11
0.994 Slope Slope 1.019
0.001 Intercept Intercept 0.000
0.918 R2 R2 0.923 Same 96% Different 4%
Alpha Max Min Beta Rho Sigma(Ratio)
0.958 Correlation Correlation 0.961 Up/Up 59% Dn/Dn 37% Dn/Up 2% Up/Dn 2%