Year | Long Backtest Total Return | S&P 500 Index Total Return | Long Backtest Excess Return |
1996 | 35.71% | 22.96% | 12.75% |
1997 | 66.59% | 31.77% | 34.82% |
1998 | 41.23% | 24.13% | 17.10% |
1999 | 69.14% | 20.89% | 48.25% |
2000 | 12.73% | -7.46% | 20.19% |
2001 | -1.48% | -11.46% | 9.97% |
2002 | -4.37% | -21.55% | 17.18% |
2003 | 52.00% | 31.04% | 20.95% |
2004 | 16.15% | 11.95% | 4.21% |
2005 | 36.22% | 6.13% | 30.09% |
2006 | 19.12% | 15.74% | 3.38% |
2007 | 34.05% | 5.13% | 28.92% |
2008 | -20.43% | -37.31% | 16.88% |
2009 | 73.65% | 28.33% | 45.32% |
2010 | 29.02% | 16.93% | 12.09% |
2011 | 8.32% | 1.02% | 7.30% |
2012 | 13.74% | 16.43% | -2.69% |
2013 | 46.40% | 33.57% | 12.83% |
2014 | 14.37% | 12.56% | 1.82% |
2015 | -8.67% | 0.47% | -9.14% |
2016 | 21.10% | 12.76% | 8.34% |
2017 | 19.73% | 21.13% | -1.40% |
2018 | -1.41% | -5.24% | 3.84% |
2019 | 35.91% | 31.02% | 4.89% |
2020 | 20.02% | 5.58% | 20.02% |
Average Linked Annual Ret. | 22.74% | 9.22% | 13.70% |
Average Annual Return | 26.11% | 10.00% | 16.22% |
Longitudinal Std.Dev. | 25.33% | 17.84% | 14.75% |
Sharpe Ratio (20-yr) | 0.89 | 0.53 | 0.48 |
T-Stat for the Mean Return | 4.72 | 2.57 | 4.79 |
Probability Total (Excess) Ret < 0 | 15.16% | 28.80% | 13.59% |