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