ERC PORTFOLIO

US Style ERC Portfolio Hedged

April 29, 2011

Description
Build a portfolio of ETFs on the Value and Growth Indices of the S&P 500, S&P MidCap 400, S&P SmallCap 600, while
every ETF contributes the same amount of risk to the portfolio volatility and hedge that portfolio with an investment in
volatility instruments. Over a mid-term to long-term horizon that basket outperformed the SPDR DJ Total Market ETF on an
absolute as well as on a risk adjusted basis.
160

US Style ERC Portfolio Hedged

SPDR DJ Total Market

160

130

130

100

100

70

70
US Style ERC Portfolio Hedged
SPDR DJ Total Market

Return (p.a.)

8%

6%

4%

2%

40

40

Dec-05

Dec-06

Dec-07

Dec-08

Performance vs. Benchmark

1 Month
6 Months*
Portfolio
Benchmark

1,99%
2,76%

20,95%
17,39%

Dec-09

18%

Dec-10

Ytd

1 Year*

7,15%
8,94%

15,10%
16,08%

3 Years*
(p.a.)
8,95%
3,94%

21%
24%
Volatility (p.a)

since
08/10/01
43,21%
22,52%

* 6 months: 130 business days (bd), 1 year: 260 bd; 3 years: 780bd;

27%

ITD
(p.a.)
6,77%
3,60%

As of 04/29/2011

From 12/20/05 - 01/28/09: S&P 500 VIX Mid-Term Futures Index TR and from 01/29/09 onwards: iPath S&P 500 VIX Mid-Term Futures ETN

Risk & Performance Measures compared to Benchmark

Portfolio
Benchmark
Volatility (1 year*):
15,37%
18,34%
Value at Risk (99% / 260 days):
-2,37%
-3,09%
Maximum Drawdown (1 year*):
12,46%
15,93%
Sharpe Ratio+ (1 year*) :
0,97
0,86
* 1 year: 260 business days; + risk free rate: 0,25%

Correlation (1 year*):
Beta (1 year*):
Information Ratio (1 year*):
Treynor Ratio+ (1 year*):

Portfolio
0,9484
1,1269
-0,16
0,13
As of 04/29/2011

Portfolio Risk

iShares S&P 500 Growth ETF

iShares S&P 500 Value ETF
iShares S&P MidCap 400 Growth ETF
iShares S&P MidCap 400 Value ETF
iShares S&P SmallCap 600 Growth ETF
iShares S&P SmallCap 600 Value ETF

Risk
Contribution
16,81%
16,59%
16,78%
16,46%
16,93%
16,43%
As of 04/29/2011

Disclaimer: This report is for information purposes only. ERC Portfolio UG is not soliciting any subscriber to buy or sell any security. Nothing herein should be construed as an offer to buy or sell securities or to give
individual advice on investing. Before buying or selling any mutual fund, exchange-traded fund, security, or investment, read the prospectus carefully. For securities held in brokerage accounts, read the broker's specific
terms and conditions which apply to trading of the securities. ERC Portfolio UG cannot and does not give any assurance that the present or future model portfolio changes will be profitable. Past performance is not a
guarantee for future results. Factual material is obtained from sources believed to be reliable and is provided without warranties of any kind. ERC Portfolio UG is not responsible for any errors or omissions. ERC Portfolio
UG does not accept any liability whatsoever for such use and no claims for any loss or damage arising from the reliance on the information by any party shall be entertained. ERC Portfolio UG neither is associated with
nor receives any compensation from any of the mutual fund companies, brokers or entities connected with the exchange-traded funds mentioned in the report. This document speaks only as of the date hereof and is
subject to change without notice. This report is being furnished for informational purposes only and on the condition that it will not form the primary form of any investment decision. Each investor must make their own
determination of the appropriateness of any investment in any security referred herein based on legal, tax and accounting considerations applicable to such investor and investment strategy. By virtue of this report, no
employee or director of ERC Portfolio UG shall be responsible for any investment decision.
2011 ERC Portfolio UG (haftungsbeschrnkt), all rights reserved. This document must not be copied (in whole or in part), distributed (electronicaly or otherwise), printed or otherwise used without ERC Portfolio's prior
written consent other than for internal use. S&P and Standard and Poor's Index names are trademarks of Standard & Poor's, a division of The McGraw-Hill Companies, Inc. iShares is a registered trademark of BlackRock
Institutional Trust Company, N.A. All other trademarks, servicemarks or registered trademarks are the property of their respective owners.

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