ENHANCED MODEL MARKET NEUTRAL STRATEGY
| 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 | -6.56% | 19.01% | -25.58% | 0.21% |
| Average Linked Annual Ret. | 23.22% | 23.61% | -3.52% | 2.30% |
| Average Annual Return | 26.59% | 26.31% | 0.28% | 2.29% |
| Longitudinal Std.Dev. | 23.97% | 25.86% | 28.94% | 2.24% |
| Sharpe Ratio (20-yr) | 0.82 | 0.91 | N/A | N/A |
| T-Stat for the Mean Return | 4.84 | 4.43 | 0.04 | 4.47 |
| Probability Total (Excess) Ret < 0 | 36.64% | 34.52% | N/A | 34.73% |
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.
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Click on any of the terms above for the process used for calculation. |
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Monthly Data |
Quarterly Data |
Annual Data |