In Sample Period | 01/01/2007-31/12/2007 | |||
Out of Sample Period | 01/01/2008-30/12/2015 | |||
Algorithm | ||||
Multi Variate Kalman Filter | Rolling (OLS) regression | Constant Hedge Ratio | S&P500 | |
Cumulative Return % | 171.671 | 22.347 | 6.855 | 42.470 |
Annual Return % | 13.321 | 2.556 | 0.833 | 4.528 |
Sharpe Ratio | 1.135 | 0.738 | 0.228 | 0.312 |
Beta | −0.010 | −0.005 | −0.013 | |
Maximum Drawdown % | 28.636 | 6.730 | 5.301 | 52.909 |
Duration of Maximum Drawdown | 175.0 | 404.0 | 628.0 | 154.0 |