In Sample Period

01/01/2008-31/12/2008

S&P500

Out of Sample Period

01/01/2009-30/12/2015

Algorithm

MultiVariate Kalman Filter

Rolling (OLS) regression

Constant Hedge Ratio

Cumulative Return %

278.267

28.513

13.565

121.512

Annual Return %

20.972

3.655

1.837

12.054

Sharpe Ratio

3.039

1.387

0.753

0.729

Beta

0.026

−0.003

0.032

Maximum Drawdown %

17.910

3.934

3.736

28.547

Duration of Maximum Drawdown

69.000

290.000

367.000

203.0