FalkenFund Performance
I ran a fund from 1996 through 2002, based on my dissertation. The basic idea was to go long low volatility stocks, because they give you a slightly higher return than average, at lower than average volatility. The performance is highlighted below. It actually was a great long only strategy, and still is, but alas the idea 'go long low volatility stocks' never really sold. I got into other strategies. So as good as an idea is, it need a hook, and this does not have one. But I reference this in my book, and paid taxes on this, so it is real, and proof I'm not backfitting the idea.
Holdings:
| Dec-96 | Dec-97 | May-98 | |||
| APR | American Precision Industries | AGE | ENSCO | AMR | Amr Corporation |
| AVY | Avery Denison | ASO | S C I | ATI | Airtouch Communications |
| BBV | Baker Hughes | BSC | SCHLUMBERGER LTD | BBK | Bb&T Corp |
| BHI | Banco Bilbao Vizcaya | CCL | EXECUTIVE RISK | BMY | Bristol-Myers Squibb Co |
| BTL | Betzdearborn | CFR | CULLEN FROST | C | Chrysler Corp |
| CCI | Carson Pirie Scott | CNB | COLONIAL | CAH | Cardinal Health Inc |
| CMA | Citicorp | CYN | CITY NATIONAL | CL | Colgate-Palmolive Co |
| CRP | Comerica | DME | AMSOUTH | ED | Consolidated Edison Inc |
| FLO | Flowers Industries | ER | HALLIBURTON CO | F | Ford Motor Co |
| GGP | General Growth Properties | ESV | FIRST VIRGINIA | HD | Home Depot Inc |
| HI | Household International | FVB | DIME BANCORP INC | IPG | Interpublic Gr Of Cos |
| HOT | Kysor Industrial | HAL | STAR BANC | JCI | Johnson Controls Inc |
| KZ | Lilly and Co. | KSS | MELLON BANK CORP | LNC | Lincoln National Corp |
| LLY | Marriott International | MEL | EDWARDS A G | LTD | Limited Inc (The) |
| MAR | Rouse | MER | MERRILL LYNCH & | MAS | Masco Corp |
| RSE | Safeway Incorporate | MWD | STATE STREET | NYT | New York Times Co Cl A |
| SLB | Schlumberger Limited | SCI | BEAR STEARNS COS | OMC | Omnicom Group Inc |
| SNT | Sonat | SLB | KOHLS CORP | PHB | Pioneer Hi-Bred Int Inc |
| SNV | Starwood Lodging | STB | CARNIVAL CORP | SBC | Sbc Communications Inc |
| STI | Suntrust | STT | MORGAN STNLY | TWX | Time Warner Inc |
| SWY | Synovus Financial Corp. | WMT | Wal Mart Stores Inc | ||
| VON | Vons Companies | WWY | Wrigley William Jr Co | ||
| VRC | DCX | Daimler Chrysler Benz | |||
| Mar-99 | Jun-00 | Jul-01 | |||
AGN |
Viacom |
ACL |
ACE LIMITED |
AMHC |
AMERICAN HEALTHWAYS INC |
ASO |
Enron |
AGN |
ALLERGAN INC |
ASIA |
ASIAINFO HOLDINGS INC |
AT |
Darden Restaurants |
AC |
ALLIANC CAP MGMT HLDG LPUNIT LTD PARTNERSHIP INT |
AZO |
AUTOZONE INC |
BAX |
Amsouth |
AHP |
AMERICAN HOME PRODS CORP |
HRB |
BLOCK H & R INCORPORATED |
BCR |
Bausch & Lomb |
BHI |
BAKER HUGHES INC |
CD |
CENDANT CORP |
BOL |
Ecolab |
BR |
BURLINGTON RESOURCES INC |
CHH |
CHOICE HOTELS INTL NEW |
BUD |
Wendy's |
CAM |
COOPER CAMERON CORP |
CBH |
COMMERCE BANCORP INC NJ |
CAH |
Nike Class B |
GLW |
CORNING INC |
DLX |
DE LUXE CORP |
DHR |
Anheuser Busch |
DIS |
DISNEY WALT HLDG CO |
EME |
EMCOR GROUP INC |
DRI |
Corning |
EQT |
EQUITABLE RESOURCES INC |
EPD |
ENTERPRISE PRD PRTNRS LP |
ECL |
Baxter Intl |
INTC |
INTEL CORP |
FIMG |
FISCHER IMAGING CORP |
ENE |
Alltel |
LGE |
L G & E ENERGY CORP |
GPI |
GROUP 1 AUTOMOTIVE INC |
FDX |
Danaher |
NBR |
NABORS INDUSTRIES INC |
HIB |
HIBERNIA CORP CL A |
GLW |
Allergan |
PBG |
PEPSI BOTTLING GROUP INC |
ITRI |
ITRON INC |
IPG |
Bard C R |
PFE |
PFIZER INCORPORATED |
HCR |
MANOR CARE INC |
NKE |
AMP |
PHA |
PHARMACIA CORP |
MEE |
MASSEY ENERGY COMPANY |
RKY |
Tyco |
STT |
STATE STREET CORP |
MDCI |
MEDICAL ACTION INDS INC |
SBC |
Ameritech |
TXN |
TEXAS INSTRUMENTS INC |
MCO |
MOODYS CORP |
TYC |
SBC |
RIG |
TRANSOCEAN SEDCO FOREX F |
MOVI |
MOVIE GALLERY INC |
VIAB |
FDX |
TGH |
TRIGON HEALTHCARE INC |
MGAM |
MULTIMEDIA GAMES INC |
WEN |
Coors |
UNH |
UNITEDHEALTH GROUP INC |
NBTY |
N B T Y INC |
| ODP |
OFFICE DEPOT INC |
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| PNR |
PENTAIR INC |
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| PRX |
PHARMACEUTICAL RES INC |
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| SFCC |
SFBC INTL INC |
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| SOV |
SOVEREIGN BANCORP INC |
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| TCB |
T C F FINANCIAL CORP |
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| WFC |
WELLS FARGO & CO NEW |
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| WOR |
WORTHINGTON INDS INC |