By Derek Moore
Friday on CNBC Bob Pisani did a TV segment and article around how most equity managers underperformed the S&P 500 Index. One of the graphics they used showed the percentage that underperformed on a 1yr, 10yr, and 15yr basis.
Large-Cap Funds Lag
% Who Underperformed S&P 500
When we look at ZEGA’s Buy and Hedge Master results from inception January 2008 through February of 2019, the data shows that it outperformed the S&P 500 Index. During that period, it produced an annualized net return from inception of +9.05% compared with the S&P 500’s +8.02%.
What is significant is how much less volatility was experienced considering ZEGA’s Buy and Hedge Master had an annual standard deviation of 10.08% compared to the S&P 500 15.09%. You can see the difference as measured by the Sharp Ratio where we see .93 vs .51 respectively. This means that on both a risk adjusted basis and compounded return basis, ZEGA’s strategy outperformed the overall market.
Not bad considering Buy and Hedge targets roughly 70%-75% of the upside while looking to avoid the majority of the downside in markets.