Of course, there's a bunch of tests that compare Omega(t) to SPX(t) in terms such as: numbers of wins and losses; means tests; numerical distributions; runs; etc.But all those tests have the wrong unit of analysis in that they only considering the data given. There's two errors in only looking at the data given. First, one must ask how was the Omega sequence chosen from the larger universe of all funds and what is the probability that the selection process finds this kind of out-performer from a larger but random population. Second, one must consider endogenous dynamics in which the net influx of funds into Omega is driving the prices of the asset classes used by Omega.

Yes, exactly! Given 30,000 money managers there will always be some Omega's for Bloomberg magazine.Given that and only the data we have so far, I think the only rational conclusion is Prob(Omega does as well in the future) = epsilon. It's also quite possible that, even with those statistics, Omega has, in the aggregate, lost money for clients.To see a scenario for that, lel's suppose that Omega marketed itself (quite reasonably), prior to 2008 as "low downside volatility, never lost more than 13%, and never expects to lose more than 18% under worst case".They attract many billions, assets peak in 2007, and 2008 happens. Clients are disillusioned and pull their money.So, the internal rate of return (dollar weighted by the assets under mgt), easily becomes negative.This is just made up, as I have no idea who "Omega" is, their marketing, or their IRR. But it illustrates the difference between Time-weighted and Dollar-weighted returns. p.s. Oops, I missed 1994! So, the adroit marketer says, BTW, since we changed our system in 1995, wedon't think about that year when forming our 'worst case'.

if omega can trade derivatives and leverage s&p500 is not the benchmark. then the eoy performance is not the only data to consider. remeber you have a return for a risk. Try to invest in s&p500 equal weight (Guggenheim S&P 500 Equal Weight (RSP)) you outperform s&p500 in the last 10 years maybe not in the last 4 years. but what is the risk you're taking and you can explain it? or consider selling otm options...just reading these data and consider anything else I agree with Traden4Alpha and Alan. I would use as benchmark a population of similar funds second i try to regress returns on factors or indexes at least i see an alpha I cannot obtain easily investing in indexes.