Year | Market Neutral Total Return | Long Backtest Total Return | Short Backtest Total Return | 3-Month T-Bill |
1996 | 33.346.557.909.330.200,00% | 35.705.661.500.000.100,00% | -235.910.359.066.985,00% | 521.567.402.647.281,00% |
1997 | 58.598.828.506.013.700,00% | 66.593.138.105.737.600,00% | -7.994.309.599.723.900,00% | 519.035.723.662.877,00% |
1998 | 53.733.525.914.363.200,00% | 4.123.070.188.289.300,00% | 12.502.824.031.470.200,00% | 485.561.337.673.732,00% |
1999 | 51.975.750.494.894.200,00% | 69.143.416.857.258.100,00% | -17.167.666.362.363.900,00% | 480.167.807.608.285,00% |
2000 | 32.908.392.070.429.900,00% | 12.730.804.942.448.600,00% | 20.177.587.127.981.200,00% | 598.127.715.132.155,00% |
2001 | -28.021.127.028.453.700,00% | -148.180.422.348.497,00% | -26.539.322.804.968.700,00% | 332.842.961.766.266,00% |
2002 | 31.034.597.470.973.400,00% | -436.931.251.634.862,00% | 3.540.390.998.732.200,00% | 160.077.638.368.588,00% |
2003 | 16.355.119.260.894.700,00% | 51.997.538.861.001.400,00% | -35.642.419.600.106.600,00% | 101.804.845.009.921,00% |
2004 | 1.045.039.081.289.600,00% | 16.154.416.568.890.100,00% | -570.402.575.599.411,00% | 142.749.952.401.395,00% |
2005 | 25.432.272.584.957.200,00% | 36.217.418.530.280.400,00% | -10.785.145.945.323.200,00% | 3.277.288.485.371.100,00% |
2006 | 1.061.991.281.920.300,00% | 19.117.701.571.285.400,00% | -849.778.875.208.239,00% | 497.299.513.851.555,00% |
2007 | 60.329.525.588.041.600,00% | 34.048.139.448.070.100,00% | 26.281.386.139.971.500,00% | 449.219.416.403.124,00% |
2008 | 65.242.358.555.620.400,00% | -20.433.665.411.974.900,00% | 85.676.023.967.595.400,00% | 126.608.829.222.283,00% |
2009 | 38.394.296.423.789.900,00% | 73.651.985.827.303.200,00% | -35.257.689.403.513.200,00% | 15.098.588.512.607,60% |
2010 | 523.658.700.690.363,00% | 29.022.484.380.332.400,00% | -23.785.897.373.428.700,00% | 14.336.044.889.968,80% |
2011 | 14.395.374.953.729.700,00% | 832.225.387.295.433,00% | 6.073.121.080.775.400,00% | 5.221.139.107.129,96% |
2012 | -255.005.213.231.034,00% | 13.739.350.354.220.700,00% | -16.289.402.486.531.100,00% | 829.146.566.934,78% |
2013 | 32.617.456.392.065.100,00% | 46.399.824.292.557.900,00% | -13.782.367.900.492.800,00% | 4.751.007.598.322,59% |
2014 | 29.547.674.001.697.400,00% | 14.374.372.963.089.800,00% | 15.173.301.038.607.700,00% | 2.737.835.906.236,89% |
2015 | 25.360.432.484.476.600,00% | -866.640.824.004.251,00% | 34.026.840.724.519.100,00% | 4.640.828.797.368,71% |
2016 | -656.465.465.040.307,00% | 1.901.262.914.582.800,00% | -25.577.283.796.231.100,00% | 20.554.531.058.292,20% |
Average Linked Annual Ret. | 2.322.478.660.145.300,00% | 23.608.675.473.960.600,00% | -351.837.821.180.419,00% | 229.640.889.004.861,00% |
Average Annual Return | 26.592.534.259.005.400,00% | 26.310.030.891.061.900,00% | 28.250.336.794.346,80% | 229.448.734.943.993,00% |
Longitudinal Std.Dev. | 2.396.501.772.435.800,00% | 25.862.057.981.517.200,00% | 28.939.250.566.920.200,00% | 223.677.526.328.374,00% |
Sharpe Ratio (20-yr) | 82,00 | 91,00 | N/A | N/A |
T-Stat for the Mean Return | 483.680.716.704.969,00 | 443.440.216.310.443,00 | 4.255.133.107.983,99 | 447.136.493.666.259,00 |
Probability Total (Excess) Ret < 0 | 366.400,00% | 345.200,00% | N/A | 347.300,00% |