| | | | | | | | | | | | | | | | | . | avg month | -2.84% | 1.04% | 0.31% | -0.05% | 0.35% | 2.44% | 0.72% | 0.22% | 2.18% | 0.89% | 0.03% | 2.08% | 0.61% | 1.32% | | . | stdev | 8.95% | 6.03% | 3.79% | 3.68% | 3.64% | 3.93% | 3.83% | 2.96% | 3.65% | 4.61% | 5.83% | 4.8% | 1.41% | 36 | | . | #months | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 36 | 4.21% | | . | t-stat | -1.91 | 1.04 | 0.5 | -0.09 | 0.58 | 3.72 | 1.13 | 0.44 | 3.58 | 1.16 | 0.03 | 2.6 | 2.61 | 81% | | . | win% | 44% | 56% | 61% | 61% | 58% | 78% | 61% | 58% | 81% | 67% | 53% | 61% | 72% | -1.4% | | . | min | -43.2% | -9.7% | -12.1% | -13.7% | -9.9% | -2.5% | -14% | -4.9% | -4.6% | -10.4% | -25.3% | -6.3% | -2.32% |
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| | . | Avg Price Momentum (trailing 6mos-last month) Long/Short | | | | | | | | | | | | |
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| | . | year | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | AVG
| Avg ex JAN | | . | 1972 | -4.3% | 0.4% | 2.7% | 0.4% | 2.2% | 0.2% | 0% | -2.3% | 3.3% | 3.2% | -6.4% | 7.3% | 0.56% | 1% | | . | 1973 | 3.1% | 1.2% | 3.8% | 7.2% | 7.3% | 5.1% | -14% | 5.5% | -3.1% | 6% | 1.6% | 8.6% | 2.69% | 2.65% | | . | 1974 | -10.6% | 1.8% | -3.2% | 4.8% | 1.1% | 2.6% | 2% | 2.1% | 0.6% | 0.9% | 1.5% | 4.7% | 0.69% | 1.72% | | . | 1975 | -24% | 0.5% | -2.8% | 3.6% | 1.6% | -1.2% | -3% | 0.1% | 0% | 0.9% | -0.4% | -3.1% | -2.32% | -0.35% | | . | 1976 | -7.2% | -7.6% | 1.1% | -2.3% | -2.7% | 1.3% | -1.5% | -2.1% | 1.2% | 0.5% | 0% | -3.3% | -1.88% | -1.4% | | . | 1977 | 2.3% | -0.6% | -0.8% | 3.6% | 1.6% | 2% | -0.9% | 0.1% | 2.4% | 0.1% | 1.8% | 0% | 0.97% | 0.85% | | . | 1978 | -1.1% | 2.9% | 2.8% | -1.3% | 5.6% | 0.4% | 4.6% | 4.7% | -3.6% | -10.4% | 4.2% | 2.7% | 0.96% | 1.15% | | . | 1979 | -4.6% | 2.2% | -1.6% | 1.4% | 0.4% | 1.5% | -0.9% | 0.3% | 1.8% | 0.7% | 7.3% | 3.7% | 1.02% | 1.53% | | . | 1980 | 5.4% | 4.9% | -5.6% | -2% | -3.1% | 1.2% | -1.3% | -2.8% | 1.1% | 5.4% | 7.3% | -6.3% | 0.35% | -0.11% | | . | 1981 | -6.9% | -1.8% | -2.4% | 0.3% | 3.9% | 0% | -5% | -0.2% | 3.5% | 4.4% | 1.5% | 0.8% | -0.16% | 0.45% | | . | 1982 | 0.2% | 2.9% | 2.2% | 2.2% | 2.5% | 6.5% | 4.1% | -3.5% | 4.2% | 3.9% | 5.8% | -1.9% | 2.43% | 2.63% | |
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| | | | | | | | | | | | | | | | | . | 1983 | -2.4% | 3.7% | 1.8% | 0.3% | -0.3% | 1.9% | -0.9% | -3.9% | -0.4% | -2.9% | -2.4% | 1.3% | -0.35% | -0.16% | | . | 1984 | -0.9% | -0.8% | 1.9% | 0.7% | -3.2% | -1.6% | 0.9% | -4.9% | 1% | 4.6% | 2.5% | 3.5% | 0.31% | 0.42% | | . | 1985 | -5.6% | 0.7% | 0.4% | 2.5% | 3.6% | 2% | -4.2% | 3.8% | 3.5% | 3.1% | 1.8% | 0.6% | 1.02% | 1.62% | | . | 1986 | 3.5% | 3.7% | 2.1% | 0.3% | 1% | 4% | 2.1% | -3.2% | -4.6% | 2.4% | -1.5% | -0.9% | 0.74% | 0.49% | | . | 1987 | 3.3% | -1.9% | 1.9% | 2.4% | 0.6% | -1.7% | 4.5% | -2.3% | 3.4% | -3.8% | 2.9% | 2.2% | 0.96% | 0.75% | | . | 1988 | -2.9% | -4.9% | -1.1% | 1.2% | -1.3% | 1.8% | 0.7% | -1.7% | 0.2% | 1% | 0.9% | -0.8% | -0.58% | -0.36% | | . | 1989 | 1.3% | 0.1% | 2.3% | 1.3% | 0.8% | -1.7% | 5.1% | 0.2% | 2.6% | 3% | 2.9% | 2.1% | 1.67% | 1.7% | | . | 1990 | 1.2% | 1.5% | -0.9% | 2% | 5.8% | 0.4% | 2% | -1.7% | 3.6% | 8.6% | -3.6% | -0.4% | 1.54% | 1.57% | | . | 1991 | -10.7% | -9.7% | 0.7% | -0.4% | 5.1% | -2.5% | 3.9% | 1.7% | 1.9% | 1.5% | -0.8% | 6.4% | -0.24% | 0.71% | | . | 1992 | -7.9% | -1.1% | 0% | -2.5% | -1.8% | 1% | -1.4% | 0.1% | 3% | -2.1% | -3.6% | 1.4% | -1.24% | -0.64% | | . | 1993 | 1.1% | -3.4% | 1.3% | -2.1% | -0.2% | 3.6% | 3% | 2.3% | 1.8% | -2.9% | -3.1% | 2.4% | 0.32% | 0.25% | | . | 1994 | 0.1% | 0.6% | -2.9% | 1.3% | -2.1% | -0.5% | 0.6% | -1.9% | 0.2% | 1.3% | -0.3% | 4.4% | 0.07% | 0.06% | | . | 1995 | -1.2% | -1.2% | 1.9% | 1.1% | -0.1% | 3% | 3% | 0.8% | 2.1% | 2% | 0.9% | 2.4% | 1.23% | 1.45% | | . | 1996 | -1.5% | -1.7% | -2.3% | -2.6% | 0.5% | 1.3% | -2.1% | 0.7% | 1.1% | 3.2% | -1.6% | 3.8% | -0.1% | 0.03% | | . | 1997 | -1.9% | -0.7% | 2% | 4.6% | -6.2% | 3.1% | 2.5% | -2.8% | -0.5% | -0.5% | -0.8% | 4.8% | 0.3% | 0.5% | | . | 1998 | -1.8% | -1.5% | 2.7% | -3.5% | 3.1% | 10% | 0.9% | 2.3% | 1.4% | -5.5% | -1.4% | 8.7% | 1.28% | 1.56% | | . | 1999 | -4.4% | -0.3% | 0.3% | -4.4% | -3.8% | 5.6% | 1.1% | 4.7% | 3.5% | 5.2% | 6.3% | 13.6% | 2.28% | 2.89% | | . | 2000 | 2.4% | 28.6% | -12.1% | -13.7% | -9.9% | 16.8% | 0.4% | 5.7% | 13.9% | 9.3% | 9.5% | 12.2% | 5.26% | 5.52% | | . | 2001 | -43.2% | 13.4% | 14.1% | -7.8% | 0.8% | 3.1% | 7.1% | 6.6% | 8.7% | -9.2% | -9.9% | -4.3% | -1.72% | 2.05% | | . | 2002 | 4.9% | 2% | -2.3% | 1.6% | 5.7% | 12.4% | 4.4% | -0.3% | 11.1% | -7.5% | -25.3% | 10% | 1.39% | 1.07% | |
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| | | | | | | | | | | | | | | | | . | 2003 | 3.1% | 3.3% | 0.1% | -1.8% | -5.3% | -1.1% | 1.4% | 0.8% | 0.7% | 6.6% | 1.4% | -5.1% | 0.34% | 0.09% | | . | 2004 | 1.8% | 1.1% | 0.1% | -1.4% | 1.5% | 2.6% | 4.6% | 0.7% | 2% | -0.5% | -2.3% | -5.9% | 0.36% | 0.23% | | . | 2005 | 2.08% | 2.74% | -0.9% | -1.54% | -1.8% | 0.88% | -2.61% | 2.25% | 4.41% | -3.36% | 0.95% | -0.41% | 0.22% | 0.05% | | . | 2006 | 5.18% | -2.18% | 1.56% | 1.14% | -2.61% | 1.55% | -0.83% | -4.13% | -3.29% | -2.69% | -1.49% | -0.42% | -0.68% | -1.22% | | . | 2007 | -0.21% | -1.4% | 2.45% | 1.44% | 2.41% | 2.21% | 5.68% | 0.16% | 5.65% | 5.52% | 4.96% | -0.04% | 2.4% | 2.64% | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | | . | | | | | | | | | | | | | | | | |
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