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 | ||||
| PNR | PENTAIR INC | ||||
| PRX | PHARMACEUTICAL RES INC | ||||
| SFCC | SFBC INTL INC | ||||
| SOV | SOVEREIGN BANCORP INC | ||||
| TCB | T C F FINANCIAL CORP | ||||
| WFC | WELLS FARGO & CO NEW | ||||
| WOR | WORTHINGTON INDS INC |