Year | Long Backtest Total Return | S&P Growth Index Total Return | Long Backtest Excess Return |
1996 | 35.25% | 23.97% | 11.28% |
1997 | 25.00% | 36.53% | -11.53% |
1998 | 48.74% | 42.16% | 6.59% |
1999 | 105.93% | 28.25% | 77.68% |
2000 | 40.70% | -22.08% | 62.78% |
2001 | 2.35% | -12.73% | 15.08% |
2002 | 1.29% | -23.59% | 24.88% |
2003 | 49.27% | 25.66% | 23.61% |
2004 | 17.53% | 6.13% | 11.39% |
2005 | 45.21% | 4.00% | 41.21% |
2006 | 11.11% | 11.01% | 0.10% |
2007 | 35.62% | 9.13% | 26.50% |
2008 | -34.07% | -34.92% | 0.86% |
2009 | 39.22% | 31.57% | 7.65% |
2010 | 17.94% | 15.05% | 2.89% |
2011 | -1.70% | 4.65% | -6.36% |
2012 | 17.66% | 14.61% | 3.05% |
2013 | 37.62% | 32.75% | 4.87% |
2014 | 6.67% | 14.89% | -8.22% |
2015 | 10.22% | 5.52% | 4.70% |
2016 | 12.21% | 6.89% | 5.31% |
2017 | 29.48% | 5.28% | 24.20% |
2018 | 7.12% | -0.01% | 7.13% |
2019 | 26.63% | 31.15% | -4.52% |
2020 | 21.76% | 20.60% | 1.16% |
Average Linked Annual Ret. | 21.78% | 7.70% | 14.08% |
Average Annual Return | 24.36% | 9.77% | 14.49% |
Longitudinal Std.Dev. | 26.64% | 19.64% | 22.43% |
Sharpe Ratio (20-yr) | 0.86 | 0.62 | 0.55 |
T-Stat for the Mean Return | 4.19 | 2.28 | 2.82 |
Probability Total (Excess) Ret < 0 | 18.03% | 30.96% | 25.94% |