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Trades Summary 07/18/2003
-------------------------------
Number of trades 129
Avg days held 20.4
Avg profit per trade (% gross) 3.6
Avg winning trade (% gross) 14.8
Avg losing trade (% gross) -8.4
Profitable trades (% gross) 51.9
Profitable trades (% net)* 51.2
Avg drawdown (%) 2.6
Max drawdown (%) 17.4
Avg profit/avg drawdown 1.4
* Assumes 1% charge for commission/slippage per transaction
Short Trades
------------
day ticker next~n trade tret rmin rmax days~d
09/29/98 SLE 27.53 Short . . . .
10/05/98 SLE 29.50 Cover -7.16 -7.85 1.93 4
10/16/98 HON 38.00 Short . . . .
10/21/98 AES 18.72 Short . . . .
10/26/98 AES 21.09 Cover -12.66 -12.66 -3.21 3
11/02/98 AXP 30.66 Short . . . .
11/02/98 BDK 52.31 Short . . . .
11/02/98 G 46.88 Short . . . .
11/03/98 GM 54.09 Short . . . .
11/03/98 HON 41.56 Cover -9.37 -9.37 3.79 12
11/03/98 KO 73.38 Short . . . .
11/03/98 LTD 13.31 Short . . . .
11/04/98 JPM 38.65 Short . . . .
11/05/98 MMM 81.75 Short . . . .
11/05/98 PEP 36.50 Short . . . .
11/09/98 MWD 32.44 Short . . . .
11/13/98 GM 59.25 Cover -9.54 -9.54 -0.85 8
11/13/98 PEP 38.75 Cover -6.16 -8.22 1.89 6
11/16/98 BAC 59.81 Short . . . .
11/17/98 AXP 33.09 Cover -7.93 -7.93 1.76 11
11/17/98 LEH 20.84 Short . . . .
11/18/98 S 45.41 Short . . . .
11/19/98 NXTL 12.06 Short . . . .
11/19/98 ONE 53.13 Short . . . .
11/19/98 TOY 20.69 Short . . . .
11/20/98 LEH 22.94 Cover -10.08 -10.08 1.63 3
11/20/98 MWD 35.69 Cover -10.02 -10.02 8.29 9
11/23/98 BAC 64.38 Cover -7.64 -9.00 -1.57 5
11/23/98 BDK 56.94 Cover -8.85 -8.85 -1.32 15
11/23/98 HCA 23.75 Short . . . .
11/23/98 JPM 43.35 Cover -12.16 -12.16 4.86 13
11/23/98 LTD 14.25 Cover -7.06 -7.06 -0.68 14
11/24/98 ROK 18.07 Short . . . .
12/02/98 HCA 25.88 Cover -8.97 -8.97 -3.41 6
12/02/98 NXTL 10.53 Cover 12.69 2.82 14.18 8
12/07/98 ROK 19.42 Cover -7.47 -7.47 -1.33 8
12/08/98 S 39.11 Cover 13.87 -3.50 14.01 13
12/11/98 KO 62.63 Cover 14.65 -2.81 14.31 27
12/14/98 TOY 16.94 Cover 18.12 -0.29 16.00 16
12/16/98 MMM 71.50 Cover 12.54 -4.05 12.69 28
12/21/98 C 23.82 Short . . . .
01/06/99 MER 37.44 Short . . . .
01/07/99 C 27.53 Cover -15.58 -15.58 2.69 11
01/08/99 ONE 57.13 Cover -7.53 -7.53 4.48 33
01/11/99 G 52.00 Cover -10.92 -11.73 12.27 47
03/04/99 MER 43.94 Cover -17.36 -17.36 10.52 39
03/18/99 USB 28.56 Short . . . .
04/01/99 HCA 19.05 Short . . . .
04/09/99 HCA 20.00 Cover -4.99 -9.24 0.00 5
06/07/99 MO 39.94 Short . . . .
06/09/99 USB 24.11 Cover 15.58 -4.48 12.82 57
06/15/99 MO 42.63 Cover -6.74 -7.04 2.20 6
08/25/99 G 47.31 Short . . . .
09/15/99 G 41.38 Cover 12.53 0.13 11.48 14
11/12/99 BNI 30.50 Short . . . .
11/15/99 KO 58.31 Short . . . .
11/22/99 KO 66.00 Cover -13.19 -13.19 -1.61 5
12/02/99 AVP 35.94 Short . . . .
12/13/99 AVP 30.56 Cover 14.97 -0.86 14.97 7
12/20/99 BNI 24.88 Cover 18.43 -1.64 18.66 25
12/23/99 BDK 49.38 Short . . . .
01/03/00 UTX 61.13 Short . . . .
01/07/00 CI 84.94 Short . . . .
01/20/00 BDK 43.25 Cover 12.41 -5.81 12.54 18
01/24/00 CI 72.75 Cover 14.35 0.36 15.30 10
01/28/00 UTX 52.63 Cover 13.90 -6.74 14.53 18
02/08/00 UIS 33.50 Short . . . .
02/15/00 BHI 25.25 Short . . . .
03/01/00 BHI 27.19 Cover -7.68 -8.16 4.95 10
03/03/00 UIS 28.00 Cover 16.42 -3.91 16.42 17
03/30/00 WY 59.13 Short . . . .
03/31/00 GD 50.00 Short . . . .
04/07/00 USB 17.69 Short . . . .
04/12/00 BDK 39.31 Short . . . .
04/20/00 GD 53.31 Cover -6.62 -7.12 -0.50 14
04/20/00 HNZ 37.38 Short . . . .
04/24/00 BDK 41.88 Cover -6.54 -7.48 10.48 7
04/25/00 MO 22.00 Short . . . .
04/26/00 NSC 17.88 Short . . . .
05/01/00 JNJ 41.06 Short . . . .
05/01/00 MO 23.56 Cover -7.09 -7.09 0.55 4
05/02/00 BCC 33.88 Short . . . .
05/04/00 HET 21.19 Short . . . .
05/08/00 XRX 28.25 Short . . . .
05/12/00 ALL 26.00 Short . . . .
05/12/00 NSC 19.30 Cover -7.94 -7.94 8.84 12
05/12/00 USB 18.97 Cover -7.24 -8.37 9.27 24
05/15/00 BCC 36.00 Cover -6.26 -9.21 2.95 9
05/16/00 RTN 24.75 Short . . . .
05/18/00 JNJ 44.40 Cover -8.13 -8.13 -1.14 13
05/23/00 ALL 28.69 Cover -10.35 -10.35 0.00 7
05/23/00 WY 49.50 Cover 16.29 -4.75 17.55 37
05/24/00 HNZ 40.19 Cover -7.52 -8.19 9.20 23
05/31/00 UIS 26.88 Short . . . .
06/07/00 KO 52.13 Short . . . .
06/08/00 RTN 21.56 Cover 12.89 -0.77 14.63 16
06/14/00 HET 22.75 Cover -7.36 -8.54 6.80 28
06/15/00 KO 56.13 Cover -7.67 -7.67 -0.35 6
06/16/00 XRX 20.69 Cover 26.76 0.88 26.97 28
06/29/00 UIS 14.94 Cover 44.42 -3.46 44.64 21
07/06/00 MSFT 40.63 Short . . . .
07/07/00 SLE 19.00 Short . . . .
07/25/00 MSFT 34.53 Cover 15.01 -0.91 15.09 13
08/07/00 AA 32.22 Short . . . .
08/08/00 BCC 29.75 Short . . . .
08/08/00 IP 35.69 Short . . . .
08/15/00 WY 49.38 Short . . . .
08/16/00 PG 62.50 Short . . . .
08/16/00 ROK 14.75 Short . . . .
09/06/00 CSC 77.88 Short . . . .
09/13/00 SLE 20.31 Cover -6.89 -7.26 2.95 47
09/14/00 WY 41.00 Cover 16.97 -0.36 15.33 21
09/15/00 IP 30.19 Cover 15.41 1.77 15.58 27
09/18/00 AA 26.64 Cover 17.32 -6.55 16.91 29
09/18/00 ROK 11.43 Cover 22.51 -5.63 21.56 22
09/20/00 BCC 26.63 Cover 10.49 -4.40 11.13 30
09/28/00 PG 67.00 Cover -7.20 -7.20 1.95 30
09/28/00 VZ 47.38 Short . . . .
10/05/00 VZ 52.13 Cover -10.03 -10.03 0.00 5
10/11/00 CSC 68.19 Cover 12.44 -2.57 12.52 25
11/06/00 F 25.38 Short . . . .
11/07/00 UIS 13.75 Short . . . .
11/20/00 F 23.88 Cover 5.91 -3.43 7.41 10
11/21/00 UIS 12.00 Cover 12.73 0.87 14.55 10
11/24/00 DAL 49.75 Short . . . .
11/29/00 WY 44.63 Short . . . .
12/01/00 AA 29.31 Short . . . .
12/04/00 WY 47.81 Cover -7.13 -7.42 1.97 3
12/05/00 AA 31.37 Cover -7.03 -7.03 -5.32 2
01/31/01 EK 42.49 Short . . . .
01/31/01 NSM 28.60 Short . . . .
02/05/01 NSM 23.80 Cover 16.78 4.51 18.64 3
02/06/01 HPQ 36.29 Short . . . .
02/14/01 DAL 42.20 Cover 15.18 -6.03 15.58 55
02/20/01 HPQ 30.15 Cover 16.92 -0.17 15.95 9
04/03/01 EK 37.60 Cover 11.51 -5.74 12.03 43
04/10/01 ATI 18.30 Short . . . .
05/11/01 DIS 31.16 Short . . . .
05/14/01 GE 49.73 Short . . . .
05/15/01 HIG 64.00 Short . . . .
05/16/01 AMGN 64.78 Short . . . .
05/16/01 ATI 19.60 Cover -7.10 -7.10 4.37 25
05/16/01 GS 99.25 Short . . . .
05/16/01 MWD 68.85 Short . . . .
05/17/01 AXP 44.37 Short . . . .
05/17/01 SLB 68.48 Short . . . .
05/17/01 TXN 39.80 Short . . . .
05/21/01 DIS 33.92 Cover -8.86 -10.01 0.67 6
05/21/01 GE 53.15 Cover -6.88 -7.38 -0.84 5
05/21/01 NXTL 19.39 Short . . . .
05/22/01 MWD 72.59 Cover -5.43 -7.86 -0.28 4
05/29/01 HIG 68.85 Cover -7.58 -7.97 -2.66 9
05/29/01 NXTL 15.20 Cover 21.61 1.65 17.90 5
05/30/01 TXN 33.11 Cover 16.81 -5.18 16.86 8
06/04/01 AMGN 69.66 Cover -7.53 -7.89 1.03 12
06/07/01 CSCO 21.29 Short . . . .
06/14/01 CSCO 17.25 Cover 18.98 3.76 16.67 5
06/14/01 SLB 57.65 Cover 15.81 -0.07 16.91 19
07/02/01 GS 84.60 Cover 14.76 -4.07 14.76 32
07/10/01 AXP 36.95 Cover 16.72 -3.79 16.61 36
07/12/01 CI 99.50 Short . . . .
07/19/01 RSH 32.70 Short . . . .
07/25/01 RSH 27.65 Cover 15.44 1.19 15.44 4
07/27/01 MDT 48.90 Short . . . .
08/01/01 CI 86.65 Cover 12.91 -2.23 12.91 14
08/14/01 MDT 43.20 Cover 11.66 1.06 11.86 12
08/23/01 CSC 38.45 Short . . . .
08/24/01 HON 38.70 Short . . . .
09/17/01 CSC 32.30 Cover 15.99 -0.75 15.99 12
09/17/01 HON 28.10 Cover 27.39 -0.65 23.77 11
11/02/01 HET 29.89 Short . . . .
11/08/01 DD 42.69 Short . . . .
11/12/01 ONE 36.20 Short . . . .
11/13/01 HET 33.80 Cover -13.08 -13.08 -1.27 7
11/14/01 GE 40.88 Short . . . .
11/20/01 JPM 39.40 Short . . . .
11/20/01 MER 52.20 Short . . . .
11/23/01 ATI 16.50 Short . . . .
11/23/01 AXP 34.44 Short . . . .
11/23/01 HIG 59.30 Short . . . .
11/23/01 HON 32.63 Short . . . .
11/23/01 LTD 13.35 Short . . . .
11/23/01 RSH 30.10 Short . . . .
11/23/01 UTX 58.65 Short . . . .
11/30/01 BDK 37.02 Short . . . .
11/30/01 HPQ 21.90 Short . . . .
12/05/01 AES 16.98 Short . . . .
12/06/01 ONE 39.20 Cover -8.29 -8.29 0.69 17
12/07/01 HPQ 22.90 Cover -4.57 -7.40 1.87 5
12/07/01 LTD 14.32 Cover -7.27 -7.64 -3.15 10
12/11/01 AES 13.99 Cover 17.61 1.18 17.96 4
12/17/01 UTX 62.95 Cover -7.33 -7.33 -0.44 16
01/04/02 AXP 38.04 Cover -10.45 -10.45 6.68 28
01/04/02 MER 56.30 Cover -7.85 -8.51 6.30 30
01/16/02 DD 40.30 Cover 5.60 -6.93 6.00 46
01/16/02 HON 29.80 Cover 8.67 -6.31 10.97 36
01/25/02 HIG 65.00 Cover -9.61 -9.61 1.47 42
01/28/02 JPM 34.06 Cover 13.55 -2.49 12.92 45
01/29/02 BDK 40.00 Cover -8.05 -8.05 4.11 39
02/04/02 GE 35.10 Cover 14.14 -1.64 14.38 54
02/15/02 HAL 16.00 Short . . . .
02/19/02 RSH 27.10 Cover 9.97 -4.72 11.66 58
03/04/02 HAL 16.83 Cover -5.19 -8.00 1.88 10
03/20/02 ATI 16.42 Cover 0.48 -2.73 11.52 79
03/20/02 DOW 33.92 Short . . . .
03/22/02 F 16.62 Short . . . .
05/22/02 F 18.15 Cover -9.21 -9.45 10.35 42
07/09/02 DOW 33.07 Cover 2.51 -1.80 11.56 76
08/20/02 CL 54.40 Short . . . .
08/21/02 AMGN 47.64 Short . . . .
08/22/02 MRK 53.52 Short . . . .
08/23/02 TYC 16.74 Short . . . .
08/27/02 GS 78.30 Short . . . .
09/10/02 BMY 26.45 Short . . . .
09/10/02 CCU 36.30 Short . . . .
09/10/02 VIA-B 44.45 Short . . . .
09/16/02 HD 34.50 Short . . . .
09/19/02 GS 67.35 Cover 13.98 1.17 14.24 16
09/19/02 MRK 45.18 Cover 15.58 1.59 15.56 19
09/23/02 AMGN 39.33 Cover 17.44 -1.89 16.02 22
09/23/02 TYC 13.60 Cover 18.76 -6.33 16.37 20
09/24/02 HD 28.75 Cover 16.67 3.83 17.65 6
10/04/02 BMY 22.20 Cover 16.07 1.06 17.73 18
10/09/02 CCU 30.67 Cover 15.51 -2.37 16.20 21
10/09/02 VIA-B 37.60 Cover 15.41 1.57 15.97 21
10/31/02 PEP 43.75 Short . . . .
11/20/02 BHI 31.13 Short . . . .
11/21/02 CL 51.80 Cover 4.78 -6.45 5.51 66
11/21/02 WY 50.00 Short . . . .
11/22/02 DIS 19.55 Short . . . .
11/22/02 HIG 48.00 Short . . . .
11/25/02 AEP 30.19 Short . . . .
12/02/02 BHI 33.90 Cover -8.90 -8.90 0.22 7
12/05/02 BAX 31.50 Short . . . .
12/12/02 AEP 25.81 Cover 14.51 5.63 14.54 12
12/13/02 DIS 16.65 Cover 14.83 -1.74 15.50 14
12/18/02 PEP 40.70 Cover 6.97 -2.65 6.63 33
01/02/03 BA 34.10 Short . . . .
01/02/03 GM 38.35 Short . . . .
01/06/03 BCC 26.70 Short . . . .
01/13/03 WY 53.45 Cover -6.90 -7.16 6.90 34
01/17/03 HCA 43.84 Short . . . .
01/24/03 HIG 42.70 Cover 11.04 -4.37 10.15 41
02/10/03 BAX 26.97 Cover 14.38 -1.78 14.73 44
02/12/03 GM 33.90 Cover 11.60 -5.61 11.29 28
02/20/03 BA 29.00 Cover 14.96 -0.59 14.46 33
03/06/03 BCC 22.30 Cover 16.48 -5.21 15.81 41
03/13/03 HD 23.21 Short . . . .
03/20/03 HD 25.50 Cover -9.87 -9.87 0.95 5
04/03/03 LTD 13.45 Short . . . .
04/04/03 HCA 38.45 Cover 12.29 1.32 14.01 53
04/15/03 CI 48.60 Short . . . .
04/29/03 LTD 14.35 Cover -6.69 -9.22 0.07 17
04/29/03 S 27.95 Short . . . .
04/30/03 CI 52.31 Cover -7.63 -7.63 3.54 10
05/20/03 MO 34.97 Short . . . .
05/21/03 MO 38.92 Cover -11.30 -11.30 -9.52 1
05/28/03 S 30.18 Cover -7.98 -7.98 4.94 20
06/04/03 BAX 25.21 Short . . . .
07/03/03 SLE 19.32 Short . . . .
Current Short Holdings 07/18/2003
---------------------------------
ticker shortdat shortp p rtd rmin rmax days~d
BAX 06/04/03 25.21 26.00 -3.13 -4.92 4.84 31
SLE 07/03/03 19.32 19.34 -0.10 -3.00 1.66 10
Glossary
--------
p = stock's closing price on respective day
nextopen = stock's opening price day after signal
shortp = price when sold short--opening price day after signal
tret = total gross return (%) = (shortp-nextopen on cover)/shortp*100%
rtd = total gross return (%) to date for open positions
trade = type of transaction
rmin = minimum % ret on closing basis since entering position (-drawdown)
rmax = maximum % ret on closing basis since entering position
shortdat = day of short signal--trade executed next open
daysheld = number of trading days since entering position
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