In February 2003, FSA and Haywood Securities began co-publishing the Canadian Return on Capital (RoC) Report.  This monthly report consists of investment information on over 200 Canadian Small, Mid and Large Cap companies in all 9 non-Financial sectors.  FSA has also published a monthly US RoC Report since April 2003, consisting of investment information on approximately 70 companies in all 9 non-financial sectors of the US market.

As part of the Canadian RoC Report, two 'Model Portfolios' have been constructed which consist of a subset of the companies in the overall report.  The Small and Mid Cap Portfolio was begun in February 2003 and the Large Cap Portfolio was begun in December 2003.

The financial performance of FSA's 'Model Portfolios'¹ and the financial performance of the companies included in FSA's US RoC reports has been exceptional.  As of September 30, the Canadian portfolios have outperformed their respective index, and the companies in the US RoC portfolio have outperformed in EVERY sector of the market.

Since it's inception in February 2003 until December 31, 2008, the FSA RoC Small and Mid Cap Portfolio has earned an annualized return of 14.90%, compared to the overall annual return of -3.04% of the S&P Small Cap Index, a difference of 17.94%.

To put this into dollar figures, $1,000 invested in the RoC Small and Mid Cap Portfolio in February 2003 would be worth $2,274 compared to only $833 if the money was invested in the S&P Small Cap index.

The FSA RoC Large Cap Portfolio² has earned an annualized return of 4.33%, compared to the overall annual return of 1.52% for the S&P Composite Index and 3.39% for the S&P/TSX Index.

In dollar figures, $1,000 invested in the RoC Large Cap Portfolio in December 2003 would be worth $1,236 compared to only $1,181 if the money was invested in the S&P Composite Index or $1,093 if the money was invested in the the S&P/TSX Index.

* The RoC Small and Mid Cap model portfolio was started in February 2003 and the RoC Large Cap model portfolio was started in December 2003.

** Relative Performance is the annual spread between the FSA portfolio returns and the respective S&P Canadian index or sub-index.

Since it's inception in April 2003 until December 31, 2008, the annualized returns of the companies included in the FSA US S&P Screening report³ has averaged 9.21%, compared to the overall annual return of 4.2% of the S&P 1500 Supercomposite Index (excluding Financials), a difference of 5.01%.

In addition, companies in the FSA report have outperformed in 8 of 9 sub-indices.  The Materials companies in the FSA Report have returned an average of 15.78% compared to only 3.22% for the S&P Materials Index.

In dollar figures, $1,000 invested in the companies in the FSA report in April 2003 would be worth $1,776.27 compared to only $1,322.25 if the money was invested in the S&P Supercomposite 1500 index.  The table below summarizes the FSA returns vs. the S&P in all non-financial sectors.

To see graphs of the relative performance of FSA vs. S&P in each of the 9 non-financial S&P Sectors, click here.

* FSA consists of all companies included in the monthly US S&P Screening report, segregated by Sub-Index.

** S&P returns are the annualized returns since inception in each of the sub-indices of the S&P 1500 Supercomposite index.

*** Relative Performance is the annual spread between FSA companies and the respective S&P index or sub-index.

¹ Each model portfolio began with an initial mock capitalization of $100 million.  Investment decisions have been made as if 'real' money was being invested.

² Canadian Returns are as of September 30, 2008 and US Returns are as of December 31, 2008.

³ Assumes that all companies included in the report are equally-weighted each month.  Returns are then annualized.