Year | Long Backtest Total Return | S&P Value Index Total Return | Long Backtest Excess Return |
1996 | 33.72% | 21.99% | 11.72% |
1997 | 63.10% | 29.98% | 33.12% |
1998 | 34.46% | 14.67% | 19.79% |
1999 | 10.36% | 12.72% | -2.36% |
2000 | 25.59% | 6.08% | 19.51% |
2001 | 29.38% | -11.71% | 41.09% |
2002 | 5.85% | -20.85% | 26.70% |
2003 | 71.30% | 31.79% | 39.51% |
2004 | 30.41% | 15.71% | 14.71% |
2005 | 28.95% | 5.82% | 23.13% |
2006 | 26.96% | 20.80% | 6.16% |
2007 | 27.74% | 1.99% | 25.74% |
2008 | -40.22% | -39.22% | -1.00% |
2009 | 81.31% | 21.18% | 60.14% |
2010 | 21.98% | 15.10% | 6.87% |
2011 | 2.85% | -0.48% | 3.33% |
2012 | 24.98% | 17.68% | 7.30% |
2013 | 33.02% | 31.99% | 1.04% |
2014 | 7.76% | 12.36% | -4.60% |
2015 | 3.93% | -3.13% | 7.07% |
2016 | 20.20% | 17.40% | 2.80% |
2017 | 22.59% | 15.36% | 7.23% |
2018 | -9.78% | -8.95% | -0.83% |
2019 | 28.59% | 31.92% | -3.33% |
2020 | -6.32% | -11.46% | 5.14% |
Average Linked Annual Ret. | 21.31% | 7.55% | 13.80% |
Average Annual Return | 24.19% | 9.06% | 16.27% |
Longitudinal Std.Dev. | 25.56% | 17.25% | 16.84% |
Sharpe Ratio (20-yr) | 1.02 | 1.08 | 0.42 |
T-Stat for the Mean Return | 4.34 | 2.41 | 4.21 |
Probability Total (Excess) Ret < 0 | 17.22% | 30.00% | 16.73% |