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 |