ENHANCED MODEL VALUE STRATEGY
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 | 15.67% | 9.36% | 6.31% |
Average Linked Annual Ret. | 23.05% | 7.78% | 15.27% |
Average Annual Return | 25.67% | 9.23% | 16.44% |
Longitudinal Std.Dev. | 25.72% | 17.48% | 16.72% |
Sharpe Ratio (20-yr) | 1.12 | 1.23 | 0.41 |
T-Stat for the Mean Return | 4.35 | 2.30 | 4.29 |
Probability Total (Excess) Ret < 0 | 34.09% | 20.11% | 33.71% |
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.
|
Click on any of the terms above for the process used for calculation. |
|
|
|
|
Click here for: |
Monthly Data |
Quarterly Data |
Annual Data |