Week 2 Results: Account A: Return: +0.71% AME*: .285 ^NDX: -2.03% Account B: Return: -0.86% AME*: .349 ^DJUSEN: -3.35% Account C: Return: +3.66% AME*: .219 ^DJGSP: -0.87% Portfolio: Return: +0.71% ^DWC: -4.26% YTD Results: Account A: Return: +2.90% AME*: .288 ^NDX: -5.19% Account B: Return: -0.26% AME*: .410 ^DJUSEN: -6.86% Account C: Return: +12.11% AME*: .259 ^DJGSP: -8.19% Portfolio: Return: +3.33% ^DWC: -8.13% *AME = Average Market Exposure
If shouldn't be posing in your thread, let me know... How do you calculate AME? I don't understand really what it is or how you are calculating it. Thanks.
I'll use ENPIX in this example. ProFunds states that the objective for this fund is: "Seeks daily investment results before fees and expenses, that correspond to 150%, of the daily performance of the Dow Jones U.S. Oil & Gas Index. " Market Exposure (ME) for any given day: ME = LF*PS/AS where LF = Leverage Factor of fund (determined by ProFunds) PS = Position Size AS = Account Size For example, if we take a $20000 ENPIX position in a $45000 account: ME = 1.5*20000/45000 = .667 AME is calculated by taking an average of all daily MEs. By definition, the benchmark (^DJUSEN in this example), has a constant ME (and therefore AME) of 1.0. For this journal: ProFunds Leverage Factors: Account A: UOPIX(long) 2.0 OTPIX(long) 1.0 SOPIX(short) 1.0 USPIX(short) 2.0 Account B: ENPIX(long) 1.5 SNPIX(short) 1.0 Account C: PMPIX(long) 1.5 SPPIX(short) 1.0