PERFORMANCE
Overview

Sabrient Quantitative Investment Research
PERFORMANCE TEST: Hidden Gems Rankings


This test represents the equity selection and performance of Sabrient's published Hidden Gems Rankings.

Test Parameters
Updated:  January 3, 2008

Period covered:  November 8, 2004 - December 11, 2007.

Number of stocks:  100 stocks in the test portfolio.

Stocks sorted by:  The Sabrient Composite Score.

Weighting:  An equal dollar weight is given to each of the 100 stocks.

Rebalancing:  The test portfolio is rebalanced once a month on the date of the next published rankings.

Dividends:  Results include dividends for both test portfolio and Russell 2000.

Stats Sabrient
Hidden Gems*
Benchmark:
Russell 2000*
Annualized Rate of Return 23.6% 9.6%
Annualized Volatility 18.2% 16.3%
Annualized Differential Return 12.6%  
Alpha 14.65%  
Beta 0.885  
Sharpe Ratio vs. Benchmark 1.12  
Simple Sharpe Ratio 1.1 0.39
Drawdown -11.8% -12.5%
Correlation with Benchmark 79.1%  


Hidden Gems vs. Russell 2000 Index:   November 8, 2004 - December 11, 2007

 

Disclaimer: These reports are published solely for informational purposes and are not to be construed as advice or a recommendation to specific individuals. Individuals should take into account their own unique and specific circumstances in acting on any stock selection made by Sabrient. Sabrient makes no representations that the techniques used in these reports will result in or guarantee profits in trading. Trading involves risk, including possible loss of principal and other losses, and past performance is no indication of future results.