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AlphaCycle Indexes Deliver Breakthrough 2007 Performance; 17 of 18 Indexes Beat Benchmark, Average Outperformance of 540 BPS with an Average Beta of only 0.92

Wellesley, MA, January 23, 2008: F-Squared Investments reported that the 2007 year-end results for its family of 18 AlphaCycle indexes generated returns that were impressive both for their level of outperformance versus traditional benchmarks, as well as for the consistency of performance across the entire index family, it was announced today by Howard Present, President and CEO.

The AlphaCycle indexes, published daily by the American Stock Exchange and covering 15 different asset classes, are the industry’s first set of indexes constructed from a highly selective number of top-rated, actively-managed mutual funds. These indexes cover three broad investment objectives, including: sector indexes (PrecisionAlphaTM); conventional long-only large-, mid- and small-cap indexes; and retirement income indexes (designed specifically for systematic withdrawal portfolios). Each is comprised of a select number (typically ten) of the best mutual funds in their respective asset class, as determined by third party, independent investment research consultants: Mesirow Financial (providing investment oversight for the six PrecisionAlpha sector indexes); Klein Decisions (providing oversight for the nine broad market indexes); and Kanon Bloch Carré (providing oversight for the three retirement income indexes).

On a relative performance basis versus traditional benchmarks (i.e., S&P 500, Russell family of indexes, Dow Jones Sector indexes), the 17 indexes with full-year performance figures generated an average of 544 basis points of annual outperformance.

Significantly, these results represented an average beta of only 0.92, or a risk level 8% less than the comparable market benchmark. Notable standouts include:

  • AlphaCycle Klein Large Core, which returned 11.4% versus 5.5% for the S&P500, beta of 0.93.
  • AlphaCycle Mesirow Natural Resources, which returned 38.0% versus 34.4% for the DJ GSSI Natural Resources, beta of 1.02.
  • AlphaCycle Mesirow Financials, returning -8.1% versus -21.4% for the DJ US Financials, beta of 0.77.
  • AlphaCycle KBC Large-Mid Growth, returning 17.1% versus 11.8% for the Russell 1000 Growth, beta of 0.80.
  • AlphaCycle KBC Large-Mid Blend, returning 17.2% versus 7.1% for the Russell 2000 Growth, beta of 0.83.

 

"The bottom line is that we believe we have harnessed a more powerful, repeatable, and reliable means of extracting the investment value add from active management," noted Present, "the results of 2007 further validate this powerful investment approach."

Index Ticker PEER GROUP ASSET CLASS BENCHMARK ONE YEAR -2007 ALPHACYCLE RETURN
%		 ONE YEAR - 2007 BENCHMARK RETURN
%		 ONE YEAR - 2007 EXCESS RETURN
%		 BETA
AIPAFIG Financials DJ US Finl Services -8.11 -21.41 13.30 0.70
AIPAHCG Health Care DJ US Healthcare 10.45 8.36 2.09 0.90
AIPANRG Natl Resources S&P GSSI Natural Res 37.99 34.44 3.55 1.03
AIPAREG Real Estate DJ US Real Estate -12.20 -18.15 5.95 0.93
AIPATEG Technology S&P GSTI Technology 22.09 16.94 5.15 0.92
AIPAUTG Utilities S&P GSSI Utilities        
AIRALVG Large Value Russell 1000 Value 1.49 -0.17 1.66 0.94
AIRALCG Large Blend S&P 500 11.36 5.49 5.87 1.00
AIRALGG Large Growth Russell 1000 Growth 15.39 11.81 3.58 0.98
AIRAMVG Mid Value Russell Midcap Value 5.76 -1.42 7.18 0.90
AIRAMCG Mid Blend Russell Midcap 10.31 5.60 4.71 0.91
AIRAMGG Mid Growth Russell Midcap Gr 22.45 11.43 11.02 1.01
AIRASVG Small Value Russell 2000 Value -0.87 -9.78 8.91 0.73
AIRASCG Small Blend Russell 2000 2.91 -1.57 4.48 0.82
AIRASGG Small Growth Russell 2000 Growth 17.16 7.05 10.11 0.86
AIRILBG Large Blend S&P 500 6.89 5.49 1.40 1.07
AIRILVG Large Value Russell 1000 Value -1.86 -0.17 -1.69 0.92
AIRILGG Large Growth Russell 1000 Growth 17.08 1.81 5.27 1.07
             
AVERAGE     9.31 3.87 5.44 0.92

 

About F-Squared Investments:

F-Squared Investments was founded on the premise of providing investors with the highest possible retained returns. F-Squared has a series of 18 AlphaCycle indexes published daily, each consisting of a highly select list of top rated actively managed mutual funds. The funds within each index are selected by institutional consultants, providing imbedded due diligence and ongoing monitoring. The institutionally-based investment methodology behind the construction of the indexes, AlphaCycle™ investing, reflects best practices of the world’s largest and most sophisticated investors and has been shown to be a superior means of capturing the investment value-add from active management.

www.f-squaredinvestments.com
www.activeindexsolutions.com

All rights reserved. "AlphaCycle" is a service mark of Active Index Solutions, LLC. Investment products that may be based on AlphaCycle Indexes are not sponsored by Active Index Solutions, LLC or F-Squared Investments, Inc., and neither firm makes any representation regarding the advisability of investing in them. Inclusion of a mutual fund in this index does not in any way reflect an opinion of Active Index Solutions or F-Squared Investments regarding the investment merits of such a mutual fund. None of the mutual funds included in the index have given any real or implied endorsement or support to Active Index Solutions or to this index. One cannot invest directly into an index. Returns represent past performance, are not guarantees of future results, and are not indicative of any specific investment.

NOTE: PRESS INQURIES
BarryM. Schwartz/Schwartz Public Relations Associates
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