Back Testing in FactSet

Highlights of the Research:

• Portfolio Construction: Unleveraged long/short portfolio 50% Long, 50% Short
• Highest Information Ratio (1.5) generated by Sector Layered Demand to Borrow
• Second Highest Information Ratio (1.1) Contrarian Institutional Ownership (lower turnover)
• Universe: Largest 500 US Stocks, US Midcaps, US Technology Sector
• Period: July 2006 - October 2009
• Significant negative correlation with Fama French factors and Equity Indices