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