The Strategy is equally weighted, an approach which has tended to outperform those weighted by market capitalization. The Strategy excludes broad components of the Index that are less predictable or that have insufficient dividend history. The Strategy is constructed independently of Index weightings.
The table below summarizes a number of risk measures for the Strategy and the Index, based on monthly calculations from May 15, 2009, to March 31, 2015.
| The Strategy | The Index | |
| Sharpe Ratio | 1.76 | 1.38 |
| Information Ratio ex post, annualized | 1.16 | |
| Tracking Error | 4.44% | |
| Standard Deviation | 12.98% | 12.85% |
| Sortino Ratio | 2.06 | 1.40 |
| Up Capture | 105.3% | 100% |
| Down Capture | 73.96% | 100% |
| Calmar Ratio | 1.74 | 1.10 |
The Sharpe Ratio figures suggest that the Strategy has achieved higher risk adjusted returns than the Index. The Information Ratio supports this observation. The Down Capture figures suggest that the Strategy’s loss of capital is less than the Index in periods during which the Index has declined. The Down Capture results also suggest that the time to recovery of capital is less than the Index.
