39 Year Performance Measures (1961 - 1999)
25 Year Performance Measures (1975 - 1999)
5 Year Rolling Returns
10 Year Rolling Returns
20 Year Rolling Returns
HY10 HY5 BTD5 F4.0 F4.1 UV2
1961 26.91% 23.98% 27.13% 23.01% 23.45% 27.54%
1962 0.15% 4.81% -2.13% -7.87% 0.37% 13.15%
1963 21.06% 17.21% 18.34% 16.19% 17.42% 22.62%
1964 20.28% 22.11% 26.66% 23.90% 26.79% 33.19%
1965 19.34% 28.59% 16.38% 12.43% 12.40% 6.43%
1966 -17.90% -15.65% -18.46% -18.49% -17.65% -12.80%
1967 25.82% 32.54% 34.18% 32.57% 40.91% 31.01%
1968 14.55% 20.85% 10.52% 11.40% 14.09% 24.53%
1969 -12.77% -13.40% -8.25% -4.87% -6.66% 0.84%
1970 2.36% -0.03% -8.93% -13.45% -5.92% 0.87%
1971 6.20% 3.91% 11.41% 22.86% 19.74% 32.27%
1972 23.90% 19.38% 22.18% 17.58% 24.91% 46.79%
1973 3.89% -2.05% 18.98% 32.09% 25.74% 43.94%
1974 1.04% 5.34% -3.37% 2.63% 5.25% 9.09%
1975 50.99% 65.10% 63.09% 82.20% 68.71% 88.95%
1976 33.24% 33.76% 38.54% 40.85% 36.92% 43.89%
1977 1.17% 2.13% 2.21% 1.98% 5.32% 7.84%
1978 2.44% 3.18% 4.11% 8.12% 9.89% 6.65%
1979 14.21% 15.33% 14.75% 24.06% 13.47% 10.52%
1980 31.09% 31.78% 45.39% 46.63% 45.47% 42.73%
1981 4.25% 8.63% -1.26% -1.56% -4.63% 16.88%
1982 20.68% 9.24% 26.96% 47.54% 39.07% 66.18%
1983 39.22% 34.92% 36.77% 35.20% 41.74% 40.92%
1984 7.45% 14.37% 11.00% 12.79% 10.24% 0.50%
1985 30.61% 33.62% 39.71% 38.20% 22.85% 30.38%
1986 26.41% 28.39% 24.06% 28.43% 27.30% 18.34%
1987 8.56% 11.22% 11.08% 2.28% 18.75% 27.48%
1988 17.80% 20.26% 14.48% 13.83% 13.23% 16.71%
1989 29.64% 28.54% 12.33% 9.04% 15.28% 19.62%
1990 -10.01% -6.95% -17.34% -15.06% -17.61% -21.47%
1991 35.24% 64.32% 59.14% 89.34% 81.61% 106.86%
1992 6.47% -4.76% 20.19% 29.25% 30.24% 44.20%
1993 23.54% 21.58% 30.49% 37.80% 26.22% 20.25%
1994 2.35% -6.05% 6.10% -6.88% 4.51% -5.35%
1995 37.10% 42.27% 30.13% 37.49% 30.42% 4.74%
1996 27.47% 26.95% 26.62% 30.47% 24.34% 18.89%
1997 20.39% 21.47% 17.70% 24.30% 22.31% 27.11%
1998 9.67% 12.28% 12.49% 17.35% 10.75% 7.57%
1999 2.97% 4.52% -7.60% -13.37% -14.54% 19.70%
Worst: -17.90% -15.65% -18.46% -18.49% -17.65% -21.47%
*Returns are based on stocks chosen the first trading day of the year and sold the first trading day of the following year. Returns include dividends, and are adjusted for splits, spin-offs, etc. to reflect as closely as possible the returns an investor would have received from following the strategy at that time.
Average Return* 14.58% 15.68% 15.61% 17.58% 17.34% 21.87%
Standard Dev.** 0.1530 0.1822 0.1876 0.2372 0.2075 0.2495
Sharpe Ratio*** 0.6198 0.5991 0.5830 0.5802 0.6234 0.7232
Average Return* 17.99% 19.26% 19.36% 22.36% 20.55% 23.67%
Standard Dev.** 0.1510 0.1905 0.1943 0.2583 0.2254 0.2836
Sharpe Ratio*** 0.7987 0.7219 0.7160 0.6966 0.6899 0.6916
*The Average Return quoted here is not the arithmetic average (mean). It is the Compound Average Growth Rate (CAGR).
**The higher the standard deviation, the more volatile the strategy.
***The Sharpe ratio combines the average return with the standard deviation. A higher Sharpe ratio means the strategy has provided better risk-adjusted returns.
HY10 HY5 BTD5 F4.0 F4.1 UV2
1961-1965 17.17% 19.05% 16.77% 12.90% 15.70% 20.19%
1962-1966 7.40% 10.23% 6.84% 3.98% 6.71% 11.39%
1963-1967 12.41% 15.53% 13.80% 11.83% 14.20% 14.71%
1964-1968 11.18% 16.23% 12.25% 10.89% 13.54% 15.06%
1965-1969 4.26% 8.51% 5.24% 5.19% 6.80% 8.83%
1966-1970 1.11% 3.18% 0.21% -0.18% 3.06% 7.67%
1967-1971 6.45% 7.58% 6.66% 8.36% 11.07% 17.03%
1968-1972 6.12% 5.35% 4.68% 5.79% 8.43% 19.72%
1969-1973 4.07% 1.02% 6.24% 9.46% 10.55% 23.24%
1970-1974 7.17% 5.05% 7.34% 11.13% 13.24% 25.19%
1971-1975 15.83% 16.14% 20.61% 28.97% 27.27% 41.94%
1972-1976 21.21% 22.16% 25.98% 32.54% 30.73% 44.35%
1973-1977 16.40% 18.40% 21.57% 28.82% 26.35% 35.71%
1974-1978 16.07% 19.64% 18.36% 23.77% 22.99% 27.82%
1975-1979 18.95% 21.83% 22.50% 28.55% 24.85% 28.15%
1976-1980 15.63% 16.46% 19.72% 23.09% 21.21% 21.16%
1977-1981 10.10% 11.71% 11.88% 14.57% 12.75% 16.22%
1978-1982 14.05% 13.23% 16.84% 23.36% 19.20% 26.72%
1979-1983 21.27% 19.46% 23.39% 29.00% 25.42% 33.98%
1980-1984 19.80% 19.26% 22.58% 26.56% 24.70% 31.46%
1981-1985 19.71% 19.60% 21.60% 25.07% 20.55% 29.10%
1982-1986 24.41% 23.66% 27.28% 31.90% 27.72% 29.42%
1983-1987 21.81% 24.11% 23.93% 22.58% 23.75% 22.74%
1984-1988 17.80% 21.29% 19.60% 18.44% 18.31% 18.20%
1985-1989 22.31% 24.15% 19.88% 17.64% 19.37% 22.39%
1986-1990 13.53% 15.48% 7.93% 6.73% 10.21% 10.59%
1987-1991 15.07% 21.33% 13.45% 15.34% 18.32% 23.65%
1988-1992 14.63% 17.62% 15.25% 20.87% 20.53% 26.74%
1989-1993 15.72% 17.88% 18.30% 25.58% 23.18% 27.50%
1990-1994 10.38% 10.71% 16.96% 21.68% 20.79% 21.67%
1991-1995 20.08% 20.52% 28.07% 33.98% 32.41% 28.88%
1992-1996 18.66% 14.46% 22.35% 24.37% 22.74% 15.37%
1993-1997 21.61% 20.17% 21.84% 23.40% 21.21% 12.49%
1994-1998 18.75% 18.27% 18.28% 19.50% 18.08% 10.02%
1995-1999 18.90% 20.82% 15.05% 17.78% 13.42% 15.31%
Worst: 1.11% 1.02% 0.21% -0.18% 3.06% 7.67%
HY10 HY5 BTD5 F4.0 F4.1 UV2
1961-1970 8.84% 10.83% 8.17% 6.16% 9.20% 13.76%
1962-1971 6.92% 8.89% 6.75% 6.15% 8.87% 14.17%
1963-1972 9.22% 10.32% 9.14% 8.77% 11.27% 17.18%
1964-1973 7.56% 8.36% 9.20% 10.17% 12.04% 19.08%
1965-1974 5.70% 6.77% 6.29% 8.12% 9.97% 16.73%
1966-1975 8.22% 9.47% 9.94% 13.46% 14.53% 23.62%
1967-1976 13.59% 14.64% 15.92% 19.84% 20.50% 29.97%
1968-1977 11.14% 11.69% 12.81% 16.74% 17.04% 27.47%
1969-1978 9.91% 9.93% 12.14% 16.39% 16.61% 25.51%
1970-1979 12.91% 13.13% 14.67% 19.52% 18.91% 26.66%
1971-1980 15.73% 16.30% 20.16% 25.99% 24.20% 31.14%
1972-1981 15.52% 16.82% 18.72% 23.23% 21.41% 29.52%
1973-1982 15.22% 15.78% 19.18% 26.06% 22.72% 31.14%
1974-1983 18.64% 19.55% 20.85% 26.35% 24.20% 30.86%
1975-1984 19.37% 20.54% 22.54% 27.55% 24.77% 29.79%
1976-1985 17.65% 18.02% 20.66% 24.07% 20.88% 25.07%
1977-1986 17.04% 17.53% 19.33% 22.93% 20.00% 22.65%
1978-1987 17.86% 18.54% 20.33% 22.97% 21.45% 24.71%
1979-1988 19.52% 20.37% 21.48% 23.60% 21.81% 25.84%
1980-1989 21.05% 21.68% 21.22% 22.02% 22.01% 26.84%
1981-1990 16.58% 17.52% 14.57% 15.54% 15.26% 19.49%
1982-1991 19.65% 22.49% 20.17% 23.35% 22.93% 26.51%
1983-1992 18.16% 20.82% 19.51% 21.73% 22.13% 24.72%
1984-1993 16.76% 19.57% 18.95% 21.96% 20.72% 22.76%
1985-1994 16.19% 17.24% 18.41% 19.64% 20.08% 22.03%
1986-1995 16.76% 17.98% 17.57% 19.58% 20.80% 19.38%
1987-1996 16.85% 17.84% 17.81% 19.77% 20.51% 19.44%
1988-1997 18.07% 18.89% 18.50% 22.13% 20.87% 19.41%
1989-1998 17.23% 18.07% 18.29% 22.50% 20.60% 18.44%
1990-1999 14.56% 15.66% 16.00% 19.72% 17.05% 18.44%
Worst: 5.70% 6.77% 6.29% 6.15% 8.87% 13.76%
HY10 HY5 BTD5 F4.0 F4.1 UV2
1961-1980 12.24% 13.53% 14.01% 15.65% 16.46% 22.14%
1962-1981 11.14% 12.79% 12.58% 14.37% 14.97% 21.61%
1963-1982 12.18% 13.02% 14.05% 17.10% 16.86% 23.97%
1964-1983 12.97% 13.82% 14.88% 17.99% 17.96% 24.83%
1965-1984 12.33% 13.45% 14.12% 17.43% 17.14% 23.09%
1966-1985 12.84% 13.66% 15.17% 18.65% 17.66% 24.34%
1967-1986 15.30% 16.08% 17.61% 21.38% 20.25% 26.26%
1968-1987 14.45% 15.06% 16.51% 19.81% 19.23% 26.08%
1969-1988 14.61% 15.03% 16.71% 19.94% 19.18% 25.67%
1970-1989 16.91% 17.33% 17.90% 20.76% 20.45% 26.75%
1971-1990 16.16% 16.91% 17.33% 20.65% 19.65% 25.18%
1972-1991 17.57% 19.62% 19.44% 23.29% 22.17% 28.01%
1973-1992 16.68% 18.28% 19.34% 23.87% 22.42% 27.89%
1974-1993 17.69% 19.56% 19.90% 24.14% 22.45% 26.75%
1975-1994 17.77% 18.88% 20.46% 23.53% 22.40% 25.85%
1976-1995 17.20% 18.00% 19.11% 21.81% 20.84% 22.19%
1977-1996 16.94% 17.69% 18.57% 21.34% 20.26% 21.03%
1978-1997 17.97% 18.71% 19.41% 22.55% 21.16% 22.03%
1979-1998 18.37% 19.22% 19.87% 23.05% 21.21% 22.08%
1980-1999 17.76% 18.63% 18.58% 20.86% 19.50% 22.57%
Worst: 11.14% 12.79% 12.58% 14.37% 14.97% 21.03%