These data come from our backtest period through 12/31/07 and from live investing afterward. Please read carefully the notes at the bottom of this table; they contain important information.
| US Market | Canadian Market | |||
| For the period: | 12/31/1998 – 12/31/07 | 6/30/1990 – 12/31/07 | ||
| Martial Capital US Equity Fund | S&P 500 | Martial Capital Canadian Equity Fund | TSX Composite Index | |
| Compound Annual Growth Rate (CAGR) – equivalent to APR or Annual Growth Rate | 40.06% | 1.96% | 29.01% | 10.33% |
| Maximum Month-end Drawdown | -19.34% | -46.34% | -17.30% | -43.32% |
| Standard Deviation of Monthly Returns | 5.23 percentage points |
3.94 percentage points |
4.31 percentage points |
4.11 percentage points |
| Coefficient of Variation of the Monthly Returns | 1.75 | 16.19 | 1.93 | 4.53 |
| Sharpe Ratio | 1.239 | 1.351 | ||
| Alpha | 77.46% | 26.42% | ||
| Beta | .7468 | 1.0543 | ||
| R² - Coefficient of Determination | .1341 | .5150 | ||
The Alpha and Beta should be evaluated in the context of the low R² of the funds.
For more information on specific statistics:
If you would like to look more closely at these data, if you want to verify any of these data yourself, or if you want to do your own quantitative analysis on our results, go here:
- The returns for our funds are after a 2% of assets annual fee plus profit sharing equal to 20% of profits (high water mark method). The returns for the two indices are before any fees. In reality, if you were to buy an Index Fund on either index, there would be administrative fees that would lower your return. Expenses (trading commissions, for example) have not been deducted from any of these numbers.
- The data for the index are actual; the data for our funds are actuals for 2007 and based on our backtests for earlier years.
- These data come from month-end NAVs. Volatility, gains, or losses that occurred intra-month will not be reflected in these numbers.
- All data save the Alpha, Beta, Coefficient of Variation, and Sharpe ratio are based on month-end data. The others are based on annual data from the most recent month-end date and include as many complete years back as possible.
- The risk-free annual rate used to calculate the Sharpe Ratio was 4.33% in Canada and 3.79% in the US.
All performance data contained on this site represents past performance. Past performance is no guarantee of future results. These funds are subject to the risks relating to investing in the stock market. These risks include the possibility that stocks may experience large price swings with the potential for significant loss of your investment.
