In Sample Period

01/01/2010-31/12/2010

Out of Sample Period

01/01/2011-30/12/2015

Algorithm

MultiVariate Kalman Filter

Rolling (OLS) regression

Constant Hedge Ratio

S&P500

Cumulative Return %

81.346

14.694

5.063

62.094

Annual Return %

12.674

2.787

0.995

10.167

Sharpe Ratio

2.643

1.408

0.532

0.706

Beta

−0.003

−0.002

0.040

Maximum Drawdown %

8.515

2.070

3.373

20.889

Duration of Maximum Drawdown

125.0

143.0

255.0

203.0