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 |