  
    Unlevered Outperformance over T-bills
    Volatility
    Sharpe Ratio
    Maximum MTM Drawdown
  

    +0.57% (average) / +0.66% (YTD)
    0.28%
    2.0
    -0.19%
  

Historical backtest results have been prepared from market data on a) S&P 500 Index b) BTIC on e-Mini S&P 500 Index futures c) S&P 500 Quarterly Dividend Index d) S&P 500 Quarterly Dividend Index futures e) S&P US 0-3 Month T-bill Index and f) treasury bill yields. This data has been used to simulate the futures basis strategy, and results do not include any commissions, fees, or other costs.