| Year | Market
Neutral
Total Return | Long
Backtest
Total Return | Short
Backtest
Total Return | 90-Day
T-Bill |
| 1996* | 17.09% | 21.90% | 4.81% | 5.30% |
| 1997 | 49.75% | 48.37% | -1.38% | 5.33% |
| 1998 | 48.01% | 25.37% | -22.64% | 5.23% |
| 1999 | 89.17% | 103.39% | 14.22% | 4.85% |
| 2000 | 54.53% | 37.85% | -16.68% | 6.18% |
| 2001 | 37.42% | 8.56% | -28.86% | 4.42% |
| 2002 | 61.62% | 7.86% | -53.76% | 1.80% |
| 2003 | 4.80% | 53.13% | 48.33% | 1.15% |
| 2004 | 20.38% | 27.36% | 6.98% | 1.30% |
| 2005 | 49.21% | 50.61% | 1.40% | 3.03% |
| 2006 | 6.66% | 20.70% | 14.04% | 4.83% |
| 2007 | 48.69% | 26.52% | -22.17% | 5.16% |
| 2008 | 29.43% | -29.77% | -59.20% | 2.23% |
| 2009 | -6.49% | 39.98% | 46.47% | 0.21% |
| 2010 | -6.34% | 16.93% | 23.27% | 0.11% |
| 2011 | 16.33% | -1.13% | -17.47% | 0.11% |
| Average Linked Annual Ret. | 29.97% | 25.52% | -9.10% | 3.18% |
| Average Annual Return | 32.52% | 29.23% | -3.91% | 3.20% |
| Longitudinal Std. Dev. | 26.79% | 28.60% | 30.64% | 2.18% |
| Information Ratio | 1.12 | N/A | N/A | N/A |
| T-Stat for the Mean Return | 4.54 | 3.68 | -0.48 | 5.49 |
| Probability Total (Excess) Ret < 0 | 8.60% | 14.88% | N/A | 3.21% |