31 August 2014
- 5 minute read

Risk-adjusted to 10% annualised volatility.

Five-year performance and sample errors for three discrete periods, plotted on top of the rolling five-year rolling performance data shown in Figure 1.

Difference in returns between consecutive periods and corresponding confidence level are also shown.

### References

[1] Factor data from Kenneth French’s Data library: mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

[2] We use a backwards-looking, rolling and exponentially weighted 100-day volatility estimate.