| Year | Market
Neutral
Total Return | Long
Backtest
Total Return | Short
Backtest
Total Return | 3-Month
T-Bill |
| 1996 | 33.35% | 35.71% | -2.36% | 5.22% |
| 1997 | 58.60% | 66.59% | -7.99% | 5.19% |
| 1998 | 53.73% | 41.23% | 12.50% | 4.86% |
| 1999 | 51.98% | 69.14% | -17.17% | 4.80% |
| 2000 | 32.91% | 12.73% | 20.18% | 5.98% |
| 2001 | -28.02% | -1.48% | -26.54% | 3.33% |
| 2002 | 31.03% | -4.37% | 35.40% | 1.60% |
| 2003 | 16.36% | 52.00% | -35.64% | 1.02% |
| 2004 | 10.45% | 16.15% | -5.70% | 1.43% |
| 2005 | 25.43% | 36.22% | -10.79% | 3.28% |
| 2006 | 10.62% | 19.12% | -8.50% | 4.97% |
| 2007 | 60.33% | 34.05% | 26.28% | 4.49% |
| 2008 | 65.24% | -20.43% | 85.68% | 1.27% |
| 2009 | 38.39% | 73.65% | -35.26% | 0.15% |
| 2010 | 5.24% | 29.02% | -23.79% | 0.14% |
| 2011 | 14.40% | 8.32% | 6.07% | 0.05% |
| 2012 | -2.55% | 13.74% | -16.29% | 0.08% |
| 2013 | 32.62% | 46.40% | -13.78% | 0.05% |
| 2014 | 29.55% | 14.37% | 15.17% | 0.03% |
| 2015 | 25.36% | -8.67% | 34.03% | 0.05% |
| 2016 | 11.65% | 21.10% | -9.45% | 0.31% |
| 2017 | -1.82% | 19.73% | -21.55% | 2.21% |
| 2018 | 6.83% | 3.58% | 3.26% | 0.00% |
| Average Linked Annual Ret. | 22.71% | 23.40% | -2.57% | 2.21% |
| Average Annual Return | 25.29% | 26.11% | 0.16% | 2.20% |
| Longitudinal Std.Dev. | 23.13% | 25.12% | 27.52% | 2.18% |
| Sharpe Ratio (20-yr) | 0.85 | 0.92 | N/A | N/A |
| T-Stat for the Mean Return | 5.01 | 4.76 | 0.03 | 4.61 |
| Probability Total (Excess) Ret < 0 | 36.27% | 35.03% | 0.24% | 34.29% |