In Sample Period | 01/01/2009-31/12/2009 | |||
Out of Sample Period | 01/01/2010-30/12/2015 | |||
Algorithm | ||||
Multi Variate Kalman Filter | Rolling (OLS) regression | Constant Hedge Ratio | S&P500 | |
Cumulative Return % | 111.149 | 18.375 | 9.123 | 81.733 |
Annual Return % | 13.294 | 2.857 | 1.469 | 10.491 |
Sharpe Ratio | 2.313 | 1.154 | 0.617 | 0.709 |
Beta | −0.007 | −0.015 | 0.060 | |
Maximum Drawdown % | 10.025 | 5.959 | 5.145 | 23.420 |
Duration of Maximum Drawdown | 223.0 | 393.0 | 770.0 | 203.0 |