ENHANCED MODEL'S MARKET-NEUTRAL STRATEGY


YearMarket
Neutral
Total Return
Long
Backtest
Total Return
Short
Backtest
Total Return
       3-Month
T-Bill
199633.35%35.71%-2.36%5.22%
199758.60%66.59%-7.99%5.19%
199853.73%41.23%12.50%4.86%
199951.98%69.14%-17.17%4.80%
200032.91%12.73%20.18%5.98%
2001-28.02%-1.48%-26.54%3.33%
200231.03%-4.37%35.40%1.60%
200316.36%52.00%-35.64%1.02%
200410.45%16.15%-5.70%1.43%
200525.43%36.22%-10.79%3.28%
200610.62%19.12%-8.50%4.97%
200760.33%34.05%26.28%4.49%
200865.24%-20.43%85.68%1.27%
200938.39%73.65%-35.26%0.15%
20105.24%29.02%-23.79%0.14%
201114.40%8.32%6.07%0.05%
2012-2.55%13.74%-16.29%0.08%
201332.62%46.40%-13.78%0.05%
201429.55%14.37%15.17%0.03%
201525.36%-8.67%34.03%0.05%
2016-6.66%21.10%-27.76%0.31%
2017-4.20%19.73%-23.93%2.20%
201816.46%14.66%1.80%0.00%
Average Linked Annual Ret.21.28%23.40%-3.61%2.20%
Average Annual Return24.81%26.11%-0.80%2.20%
Longitudinal Std.Dev.23.81%24.79%28.15%2.18%
Sharpe Ratio (20-yr)0.820.92N/AN/A
T-Stat for the Mean Return4.784.83-0.134.61
Probability Total (Excess) Ret < 035.10%35.35%N/A34.29%


The Enhanced Model went into production in April, 2006.
All performance numbers from that date are based on data sent to our clients.
All performance numbers before that date are based on backtested data.

Click on any of the terms above for the process used for calculation.
       
Click here for: Monthly Data Quarterly Data Annual Data