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$finance-math$ SOSPDR ABOUT PCALC RECENT STRATEGY

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Recent Results: Sharpe-Optimal Portfolios, ...

Row 1	Labels and Symbols
Row 2	Date and Sharpe Ratios (S0(SOLS0), S1(SOLS1))
Row 3	Expected Returns
Row 4	Standard Deviations (of return)
Row 5	Sharpe-Optimal Long Portfolio (SOLNG) Proportions
Row 6	S0-Optimal Long-Short Portfolio (SOLS0) Proportions
Row 7	S1-Optimal Long-Short Portfolio (SOLS1) Proportions

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-08-19	1.40	5.20	6.07	0.43	0.72	1.27	0.85	-0.47	1.07	0.28	0.35	0.26	1.24
2.90	13.32	10.00	7.36	9.56	14.14	14.67	24.81	-7.22	16.93	8.72	9.40	6.78	11.35
1.80	6.86	1.89	1.18	13.98	14.47	8.86	24.00	19.97	12.80	19.14	16.87	13.46	7.03
SOLNG Proportions					0.0	8.6	12.5	0.0	0.0	0.0	0.0	0.0	78.9
SOLS0 Proportions					7.4	-0.4	22.6	-20.9	-0.8	-16.9	0.0	0.0	31.0
SOLS1 Proportions					9.4	-5.8	17.3	-14.6	-3.7	-13.0	3.5	-4.3	28.4

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-08-12	1.92	5.17	5.97	0.74	1.07	1.75	1.07	-0.31	1.57	0.56	0.61	0.52	1.60
2.75	15.44	10.53	7.59	12.97	17.95	16.84	29.16	-3.42	20.08	13.13	13.07	9.93	12.53
1.79	6.10	1.98	1.24	12.46	13.04	7.75	23.09	18.52	10.87	16.99	15.56	12.53	6.52
SOLNG Proportions					0.0	24.2	11.2	0.0	0.0	0.0	0.0	0.0	64.6
SOLS0 Proportions					6.4	-0.5	23.1	-21.8	0.0	-15.8	0.0	0.0	32.4
SOLS1 Proportions					8.5	-7.1	17.5	-15.1	-2.3	-12.4	3.9	-4.2	29.0

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-08-05	2.88	5.50	6.20	1.03	1.40	2.49	1.23	-0.15	2.34	0.84	0.81	0.72	2.29
2.64	16.71	10.90	8.49	15.78	21.12	18.90	32.40	-0.20	22.85	16.66	15.98	12.39	13.91
1.78	4.65	1.96	1.34	11.32	12.11	6.40	22.56	17.40	8.69	15.37	15.05	12.28	5.60
SOLNG Proportions					0.0	22.7	9.1	0.0	0.0	0.0	0.0	0.0	68.2
SOLS0 Proportions					6.9	0.0	21.3	-18.4	0.0	-16.1	0.0	0.0	37.3
SOLS1 Proportions					10.4	-6.3	18.3	-12.8	0.2	-14.7	1.6	-4.9	30.8

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-07-29	4.53	6.15	7.30	1.36	1.77	3.29	1.40	0.00	3.86	1.18	1.07	0.92	3.07
2.58	19.87	12.47	6.33	18.28	23.88	20.49	35.23	2.66	25.30	20.07	19.07	14.63	15.02
1.78	3.78	2.02	0.86	10.08	10.94	5.48	21.80	16.41	6.21	13.31	13.96	11.88	5.00
SOLNG Proportions					0.0	0.0	9.4	0.0	28.7	0.0	0.0	0.0	61.9
SOLS0 Proportions					7.1	-1.1	18.4	-16.3	4.2	-11.5	0.0	0.0	41.4
SOLS1 Proportions					11.5	-16.2	9.9	-5.6	12.3	-11.5	4.9	-8.2	19.9

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-07-22	6.21	7.12	8.17	1.58	1.95	4.05	1.52	0.09	5.28	1.46	1.25	1.04	3.36
2.52	23.05	18.01	7.83	19.90	25.39	21.62	37.42	4.07	26.91	22.45	21.11	16.08	15.56
1.79	3.39	2.49	0.95	9.52	10.69	4.92	21.35	16.11	5.24	12.07	13.43	11.84	4.95
SOLNG Proportions					0.0	0.0	9.1	0.0	48.5	0.0	0.0	0.0	42.4
SOLS0 Proportions					0.0	0.0	18.8	-18.9	18.1	0.0	0.2	0.0	44.0
SOLS1 Proportions					8.6	-17.9	8.2	-7.8	16.6	-3.0	7.1	-10.5	20.3

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-07-15	6.35	7.12	8.07	1.66	2.01	4.20	1.59	0.14	5.47	1.59	1.34	1.08	3.32
2.46	24.68	18.63	8.49	20.67	26.07	21.99	38.84	4.94	27.51	23.78	22.23	16.68	15.37
1.81	3.60	2.58	1.04	9.49	10.75	4.93	21.28	16.14	5.31	11.86	13.35	11.95	4.94
SOLNG Proportions					0.0	0.0	9.3	0.0	58.7	0.0	0.0	0.0	32.0
SOLS0 Proportions					0.0	0.0	18.6	-17.8	23.5	0.0	0.1	-1.2	38.8
SOLS1 Proportions					8.5	-17.0	8.1	-8.3	17.7	-0.7	7.8	-12.6	19.3

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-07-08	6.84	7.34	7.90	1.80	2.09	4.56	1.70	0.24	5.80	1.74	1.43	1.16	3.25
2.34	27.46	20.81	10.11	21.84	27.18	22.62	40.86	6.46	28.02	25.59	23.81	17.72	15.52
1.79	3.86	2.79	1.27	9.48	11.01	4.91	21.13	15.94	5.31	11.89	13.75	12.20	5.12
SOLNG Proportions					0.0	0.0	9.7	0.0	75.9	0.0	0.0	0.0	14.4
SOLS0 Proportions					0.0	0.0	16.6	-9.6	47.1	0.0	0.0	-8.0	18.7
SOLS1 Proportions					9.9	-14.5	9.5	-4.4	27.6	-3.9	4.3	-14.0	11.9

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-07-01	6.90	7.54	8.05	1.90	2.12	4.58	1.85	0.32	5.68	1.85	1.53	1.21	3.19
2.21	27.50	20.48	11.32	22.67	27.65	22.67	43.14	7.74	27.80	26.87	25.25	18.34	15.38
1.77	3.82	2.68	1.39	9.45	11.19	4.99	20.61	15.86	5.37	11.95	13.88	12.31	5.18
SOLNG Proportions					0.0	0.0	10.5	0.0	74.0	0.0	0.0	0.0	15.5
SOLS0 Proportions					0.0	0.0	17.7	-9.7	44.7	0.0	0.0	-9.2	18.7
SOLS1 Proportions					7.6	-12.1	10.6	-4.8	29.6	-3.2	5.7	-15.1	11.3

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-06-24	6.89	7.71	8.17	2.03	2.18	4.54	2.06	0.42	5.60	2.00	1.65	1.29	2.89
2.11	29.10	20.45	14.82	23.92	28.56	22.99	46.00	9.43	27.68	28.63	27.35	19.57	15.62
1.77	4.05	2.61	1.78	9.52	11.43	5.21	19.89	15.85	5.44	12.04	14.23	12.52	5.71
SOLNG Proportions					0.0	0.0	11.5	0.0	82.8	0.0	0.0	0.0	5.7
SOLS0 Proportions					0.0	0.0	19.1	-10.3	45.5	0.0	0.3	-11.1	13.7
SOLS1 Proportions					3.8	-7.0	14.3	-7.1	36.0	-0.3	6.0	-17.2	8.3

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-06-17	7.56	8.78	9.45	2.34	2.39	4.77	2.39	0.56	5.58	2.28	1.87	1.50	2.81
1.94	29.26	18.87	15.25	25.38	29.84	23.43	48.96	11.25	27.59	30.46	29.43	21.22	15.76
1.73	3.74	2.17	1.57	8.91	11.09	5.29	18.32	15.35	5.51	11.38	13.78	12.02	5.96
SOLNG Proportions					0.0	0.0	13.9	0.0	75.1	0.0	0.0	0.0	11.0
SOLS0 Proportions					-7.5	17.0	19.8	-10.4	27.1	0.0	0.0	-4.7	13.5
SOLS1 Proportions					-17.7	25.6	16.5	-10.1	16.7	7.8	-0.7	0.6	4.3

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-06-10	6.59	7.43	8.39	2.45	2.44	4.58	2.55	0.67	5.10	2.43	2.05	1.58	2.75
1.88	28.18	16.77	12.51	26.03	30.27	22.90	50.66	12.85	26.77	31.49	30.97	21.93	15.06
1.75	3.98	2.13	1.38	8.72	11.01	5.30	17.72	14.94	5.64	11.03	13.33	11.85	5.79
SOLNG Proportions					0.0	12.3	13.7	0.0	62.1	0.0	0.0	0.0	11.9
SOLS0 Proportions					-10.3	22.0	16.4	-9.0	21.3	0.2	4.6	-5.3	10.9
SOLS1 Proportions					-20.6	25.6	11.7	-9.4	13.2	11.1	5.4	-1.9	-1.1

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-06-03	6.75	7.53	8.34	2.71	2.66	4.60	2.72	0.84	4.81	2.77	2.20	1.73	2.83
1.78	26.22	17.74	13.27	27.07	31.27	22.90	52.31	14.90	26.34	33.09	32.26	22.97	15.52
1.76	3.67	2.25	1.48	8.20	10.52	5.34	17.19	14.16	5.79	10.19	13.02	11.46	5.95
SOLNG Proportions					0.0	20.3	14.6	0.0	35.6	0.0	0.0	0.0	29.5
SOLS0 Proportions					-3.4	29.9	17.1	-6.7	8.0	3.3	0.0	-10.7	20.9
SOLS1 Proportions					-17.9	31.7	12.5	-8.7	5.3	13.6	2.0	-3.7	4.6

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-05-27	7.25	8.02	8.73	3.02	2.84	4.51	3.02	1.01	4.58	3.10	2.46	1.89	2.65
1.67	26.71	19.12	14.63	28.16	32.15	22.67	54.61	16.80	25.95	34.56	34.25	24.06	15.97
1.76	3.49	2.30	1.58	7.69	10.19	5.38	16.14	13.58	5.91	9.51	12.53	11.07	6.54
SOLNG Proportions					0.0	14.5	16.7	0.0	33.2	0.0	0.0	0.0	35.6
SOLS0 Proportions					0.0	23.8	18.8	-6.7	9.6	3.3	0.0	-12.6	25.2
SOLS1 Proportions					-11.9	24.3	14.0	-8.3	7.9	11.5	3.7	-8.9	9.5

Date/Base	SOLNG	SOLS0	SOLS1	SPY	XLY	XLP	XLE	XLF	XLV	XLI	XLB	XLK	XLU
2011-05-20	6.77	7.67	8.33	3.01	2.70	4.21	3.19	1.10	4.11	3.09	2.55	1.94	2.59
1.59	25.81	18.77	14.28	28.46	31.99	21.80	56.15	17.85	24.67	34.91	35.01	24.59	15.78
1.78	3.55	2.36	1.61	7.81	10.68	5.34	15.64	13.39	5.97	9.68	12.38	11.07	6.65
SOLNG Proportions					0.0	14.5	17.6	0.0	22.8	0.0	0.0	0.0	45.1
SOLS0 Proportions					-0.7	21.7	22.3	-9.9	2.9	0.0	0.0	-9.7	32.8
SOLS1 Proportions					-15.2	25.9	16.7	-10.2	2.7	8.1	2.9	-3.8	14.5

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$finance-math$ SOSPDR ABOUT PCALC RECENT STRATEGY

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