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