In Sample Period | 01/01/2006-31/12/2006 | S&P500 | ||
Out of Sample Period | 01/01/2007-30/12/2015 | |||
Algorithm | ||||
MultiVariate Kalman Filter | Rolling (OLS) regression | Constant Hedge Ratio | ||
Cumulative Return % | 387.069 | 24.637 | 12.678 | 45.592 |
Annual Return % | 19.261 | 2.481 | 1.337 | 4.268 |
Sharpe Ratio | 3.298 | 0.892 | 0.483 | 0.303 |
Beta | 0.019 | 0.017 | 0.027 | |
Maximum Drawdown % | 12.642 | 2.925 | 5.666 | 62.453 |
Duration of Maximum Drawdown | 73.0 | 147.0 | 390.0 | 1365.0 |