BTS Bond Asset Allocation Program
Bond Asset Allocation Program
Analysis Period:Start: September 11, 1996End:
March 31, 2010
Comparison 1: Barclays Aggregate Bond IndexComparison
2: S&P 500 BarCap Agg 50-50
Portfolio Description
The goal of the Bond Asset Allocation Program (BAA) is to achieve equity-like returns with bond-like risk. The program moves assets among high yield bond, government bond, and money market mutual funds.
BTS uses a broad range of market trend data, technical analysis, and economic factors to choose the sector that BTS believes will perform best in the current market environment. The appropriate time horizon
for this investment is three years or more. This illustration compares the program to two benchmarks: one is the Barclays Aggregrate Bond Index and the other is a weighted benchmark consisting of 50% of the
S&P 500 and 50% of the Barclays Aggregate Bond Index, rebalanced quarterly. Additional benchmarks may be appropriate for BAA. You should consider carefully BAA's investment goals and horizons, risks,
charges and expenses before investing. Returns are shown net of a 2.75% maximum annual fee charged quarterly, in advance.
Cumulative Return Chart
BTS Bond Asset Allocation Performance represents hypothetical returns from the program’s inception on 9/11/96 through 6/30/06 (“BAA”) and actual returns since 7/1/06 (“Select BAA”). The hypothetical
performance of the BAA consists of actual buy/sell signals applied to a composite of five high yield mutual funds, five high yield government bond funds and T-bills. For performance purposes, T-bills are used as
a surrogate for money market funds. The five high yield mutual funds were selected from Morningstar’s universe of approximately twenty high yield mutual funds that have been in existence since the program’s
inception. These five high yield mutual funds were selected because they are well-established and have been used with the program. The five government bond mutual funds are the 5 largest by total assets as
of 12/31/07. These funds were selected with the benefit of hindsight. Since BTS was not selecting particular mutual funds for BAA, there are no assurances that these funds would have been used. Performance
shown may be better or worse depending on the particular mutual funds selected.
The hypothetical returns presented reflect hypothetical performance an investor would have obtained had it invested in the manner shown and does not represent performance that any investor actually attained.
Certain assumptions have been made for modeling purposes and are unlikely to be realized. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions
used in achieving the returns have been stated or fully considered. Changes in the assumptions may have a material impact on the hypothetical returns presented.
Hypothetical returns have many inherent limitations. Unlike actual performance, hypothetical returns do not represent actual trading in the underlying composite, but show how the composite would have
performed upon the application of the program’s actual signals. Mutual funds within the composite were selected with the benefit of hindsight. Other periods selected may have different results, including losses.
There can be no assurance that BTS will achieve profits or avoid incurring substantial losses.
Returns assume that all exchanges were timely. Delays of 2-3 days may occur in implementing an exchange signal and may affect performance. Mutual funds have their own expenses whose costs are borne by
the clients. Returns include the reinvestment of dividends and capital gains but do not include possible sales charges, transaction fees, or custodial fees. Actual fees may vary depending on, among other things,
the applicable fee schedule and portfolio size. BTS’ fees are available upon request and also may be found in Part II of its Form ADV. Past performance is no guarantee of future results. Performance results are
net of the maximum possible fee of 2.75%. 1996 returns are for partial year only, beginning September 11, 1996 and ending December 31, 1996.
Risks
Investments are subject to risk; loss of capital is possible. Investing in bonds and high yield securities involves additional risks, including interest rate risk, credit risk, and reinvestment rate risk.
You should carefully consider the investment objectives, risks, and charges and expenses of each investment company included as part of the Bond Asset Allocation Program before investing. The prospectuses
contain this and other information. You should carefully read the prospectus of each investment company, which are available from your financial representative upon request.
Definitions
The S&P 500 includes 500 leading companies in leading industries of the U.S. economy and is a proxy for the total stock market
The Barclays Capital Aggregate Bond Index is comprised of government securities, mortgage-backed securities, asset-backed securities and corporate securities with maturities of one year or more to simulate
the universe of bonds in the market.
VAMI reflects the growth of a hypothetical $1,000 in a given investment over time. The value is equal to $1,000 at inception. Subsequent month-end values are calculated by multiplying the previous month's
VAMI index by 1 plus the current month rate of return.
Compound ROR stands for Compound Rate of Return, and measures the compounded growth rate (annualized) since inception.
Standard Deviation measures the degree of variation of returns around the average return; the higher the volatility, the higher the standard deviation.
Treynor Ratio is a measurement of the returns earned in excess of that which could have been earned on a riskless investment per each unit of market risk assumed, where risk is defined by beta.
Information Ratio is a risk-adjusted performance measure (the incremental average return over a benchmark divided by tracking error), where risk is defined by standard deviation.
Sharpe Ratio is a risk-adjusted performance measure (the incremental average return over the risk-free rate - represented as 3% - divided by risk), where risk is defined by standard deviation. A higher Sharpe
ratio may indicate higher risk-adjusted returns.
Sortino Ratio is a risk-adjusted performance measure (the incremental average return over the minimum acceptable return - represented as 6% - divided by risk), where risk is defined by downside deviation. A
higher Sortino ratio may indicate higher risk-adjusted returns.
Downside Deviation considers returns that fall below the minimum acceptable return. 6% is used for the minimum acceptable return.
Maximum Drawdown is the largest percentage drawdown that the investment has experienced.
Alpha measures a manager's value-added return over a benchmark index by comparing its actual return to the return expected based on the risk level.
Beta measures sensitivity to market movements relative to a benchmark index.
Correlation and R-Squared (Correlation Coefficient) measure how two securities move in relation to one another.
* Alpha, Beta, Correlation, and R-Squared show the value for the BTS portfolio versus the listed benchmark.