| Results update, 5 February 2008
Our latest results from TRAITS have concentrated on using a larger stock universe than in previous tests, and on using stocks with more historical data. As in most of our work to date, the stock universes are drawn from highly liquid, large cap European stocks. The headline figures from the latest tests are shown in the following table (the benchmark is the FTSEuroFirst 300 index).
| TRAITS Version | Universe Size | Out-of-Sample Period | TRAITS Annualized Return | Benchmark Annualized Return | TRAITS Sharpe Ratio | TRAITS Maximum Drawdown | |
|---|---|---|---|---|---|---|---|
| Start | End | ||||||
| 2.0 | 230 | 1 Jan 2002 | 22 Jan 2008 | 16.53% | 0.55% | 1.80 | 6.67% |
| 2.0 | 351 | 1 Jan 2005 | 15 Jan 2008 | 23.66% | 9.88% | 1.98 | 11.01% |
[Further information on performance calculation]