F-Squared Investments Announces Launch of "Alphasector Rotation" as an SMA and Overlay...

Thu Sep 18, 2008 12:00pm EDT

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F-Squared Investments Announces Launch of "Alphasector Rotation" as an SMA and Overlay for Mutual Fund Wrap

  Rigorous Sell Discipline Eliminated Exposure to Financials in July
     2007 and Resulted in 50% Cash Position on "Black Monday 2008"
WELLESLEY, Mass.--(Business Wire)--
F-Squared Investments, Inc. has announced the launch of a powerful
new addition to its product arsenal with the introduction of the
AlphaSector(TM) Rotation Strategy. This product will be immediately
available as a Separately Managed Account (SMA) on most major
platforms for RIAs and as an overlay for mutual fund wrap programs,
and will be priced using F-Squared's traditional low fee philosophy.

   AlphaSector Rotation Strategy applies a monthly trading protocol
to 9 sector-based ETFs and cash, rotating amongst the sectors making
up the S&P 500. Since 2001, the product has averaged 3% annualized
excess return versus the S&P 500 while incurring only 73% of the
volatility, and generating an R-Squared of only 53%(1). The buy and
sell signals used in the product have been used to manage Private
Client assets since 2001 and currently has over $100M in client assets
linked to it.

   This strategy builds on the fact that individual sectors within
the S&P 500 can differ dramatically in relative performance with, on
average, the difference between the best and worst performing sectors
exceeding 35% per year(2). Importantly, AlphaSector Rotation differs
from traditional sector-based portfolios in three key areas:

   --  Only sectors that have a positive buy signal are allowed in
        the portfolio;

   --  All sectors represented are equal weighted, with a 25% cap for
        any one sector;

   --  When too few sectors have a buy signal (3 or fewer, reflecting
        the 25% cap per sector), the remainder of the portfolio is
        invested in cash.

   "The AlphaSector's unique ability to fully participate in those
sectors with a positive arc, while also being able to move to cash in
periods of broader market weakness, is what generates the dual
benefits of strong relative performance plus critical risk
management," said Howard Present, President and CEO of F-Squared
Investments. "This strategy fits perfectly into our firm's commitment
to deliver low cost, consistently performing investment solutions," he

   AlphaSector's buy and sell discipline has generated some timely
and impressive investment decisions over the past year alone:

   --  Eliminated exposure to Financials in July of 2007;

   --  Emphasized Energy and Consumer Staples in the first two
        quarters of 2008 to generate a positive 1.5% return through
        June 2008, while the S&P 500 was off 11.9%(1);

   --  Moved to 50% cash, 25% Utilities and 25% Consumer Staples in
        September, resulting in a modest 1.14% decline on September
        15, 2008, while the S&P 500 dropped 4.71%(1).

   "The tried and true method of the AlphaSector strategy continues
to succeed even in today's volatile market, with the clients reaping
the rewards," stated Steven Cohen, President of Gold Coast Advisors, a
wealth management firm in New York. "This product is easy to
understand, it is easy to explain to my clients, and its downside risk
management is absolutely right on target given today's markets", he

   Advisors can use AlphaSector as a substitute for a traditional US
equity position, or it can justify a 10% or 20% allocation from a
diversified investment portfolio because of its historically high
alpha/low risk profile and its very low correlation to the S&P 500.

   For more information, please contact John Nelson or Chris Anderson
at F-Squared Investments (1-866-288-7657 or email at
jnelson@f-squaredinvestments.com) or visit us at our website at

   (1)Morningstar Direct, New Found Research, LLC, and F-Squared

   (2)Morningstar Direct

   (3)Morningstar Direct, Financial Research Corporation, and
F-Squared Investments

   F-Squared Investments:

   Thought Leadership. Cost Leadership.(TM)

   1- 866-288-7657

   About F-Squared Investments:

   F-Squared Investments is a Registered Investment Advisor that was
founded on the premise of providing investors with the highest
possible retained returns. The firm creates investment solutions with
the goal of generating repeatable, consistent investment value-add and
then delivering the investments with the lowest possible costs.
F-Squared supports that goal by having established itself as the low
cost industry leader in providing active, equity investment
management.(3) To learn more about F-Squared Investments and its
investment approach, visit us at www.f-squaredinvestments.com or

   All rights reserved. "AlphaCycle" and "AlphaSector" are service
marks of F-Squared Investments, Inc ("F-Squared"). This material is
proprietary and may not be reproduced, transferred or distributed in
any form without prior written permission from F-Squared. This
material has been prepared solely for informative purposes. The
information contained herein has been obtained from sources that we
believe to be reliable, but its accuracy and completeness are not
guaranteed. It is made available on an "as is" basis without warranty.
Investment products that may be based on AlphaCycle or AlphaSector
Indexes are not sponsored by Active Index Solutions, LLC or F-Squared,
and neither firm makes any representation regarding the advisability
of investing in them. None of the exchange traded funds included in an
index have given any real or implied endorsement or support to Active
Index Solutions. One cannot invest directly in an index. The returns
presented reflect hypothetical performance an investor would have
obtained had it invested in the manner shown and does not represent
returns that any investor actually attained. 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. Returns represent past
performance, and are not guarantees of future results or indicative of
any specific investment.

F-Squared Investments, Inc.
Barry Schwartz, 212-677-8700 x18

Copyright Business Wire 2008