|
|
S&P 500 |
NASDAQ 100 |
RUSSELL 2000 |
|||||||||
|
THE Signal |
THE Signal + |
Buy Hold |
THE Signal |
THE Signal + |
Buy Hold |
THE Signal |
THE Signal + |
Buy Hold |
||||
|
Year |
Long Short |
Long Only |
Long Short |
Long Short |
Long Only |
Long Short |
Long Short |
Long Only |
Long Short |
|||
|
2000 |
15.2 |
8.2 |
21.4 |
-10.9 |
53.2 |
34.2 |
71.9 |
-36.8 |
54.3 |
29.5 |
70.4 |
-4.2 |
|
2001 |
64.6 |
21.2 |
114.4 |
-13.0 |
241 |
82.0 |
558.3 |
-32.7 |
79.4 |
30.3 |
145.2 |
1.0 |
|
2002 |
57.0 |
8.6 |
102.5 |
-23.4 |
99.5 |
21.7 |
192.6 |
-37.6 |
62.8 |
14.6 |
109.6 |
-21.6 |
|
2003 |
41.7 |
31.1 |
92.7 |
26.4 |
74.0 |
49.0 |
134.0 |
49.1 |
71.5 |
57.5 |
186.5 |
45.4 |
|
2004 (Live) |
16.9 |
15.1 |
28.0 |
9.0 |
27.3 |
23.4 |
48.5 |
10.4 |
32.7 |
29.7 |
56.7 |
17.0 |
|
12.2 |
10.5 |
18.4 |
6.2 |
21.0 |
17.3 |
32.8 |
6.9 |
21.0 |
18.2 |
30.8 |
10.2 |
|
|
2005 |
6.0 |
5.0 |
12.5 |
3.0 |
3.7 |
3.9 |
13.0 |
1.5 |
14.4 |
12.5 |
29.0 |
3.3 |
|
2006 |
8.8 |
7.3 |
11.5 |
13.6 |
11.3 |
8.0 |
14.8 |
6.8 |
13.6 |
11.0 |
18.1 |
17.0 |
|
2007 |
6.5 |
6.5 |
5.6 |
3.5 |
17.7 |
17.7 |
22.3 |
18.7 |
5.0 |
5.0 |
3.8 |
-2.7 |
|
2008 |
0.9 |
0.9 |
2.5 |
-12.8 |
2.3 |
2.3 |
5.4 |
-11.9 |
1.2 |
1.2 |
2.3 |
-10.0 |
|
Annualized (Live) |
8.6% |
7.6% |
12.6% |
2.9% |
13.9% |
12.2% |
22.1% |
4.9% |
13.7% |
11.9% |
20.6% |
3.9% |
|
Cumulative (Live) |
39.1% |
33.8% |
60.9% |
12.2% |
68.2% |
58.4% |
121.9% |
21.1% |
66.9% |
56.8% |
111.6% |
16.6% |
|
Annualized (2000-2007) |
23.7% |
11.9% |
40.2% |
-1.7% |
47.4% |
26.5% |
85.6% |
-7.9% |
36.6% |
21.5% |
63.0% |
3.7% |
|
Cumulative (2000-2007) |
511% |
160% |
1,666% |
-14% |
2,611% |
638% |
19,125% |
-51% |
1.315% |
424% |
6,258% |
37% |
|
Cash % |
55% |
64% |
55% |
0% |
55% |
64% |
55% |
0% |
55% |
64% |
55% |
0% |
|
Standard Deviation |
10.6% |
7.3% |
17.5% |
14.0% |
21.2% |
15.9% |
32.4% |
29.8% |
14.0% |
10.9% |
22.1% |
19.0% |
|
Max System Drawdown |
-7.3% |
-6.2% |
-8.6% |
-49.2% |
-21.2% |
-13.5% |
-21.2% |
-82.9% |
-9.4% |
-7.5% |
-10.4% |
-46.0% |