Slides from PreSeed Academy #20 - Morten Poulsen (Speaker 2 of 3)
Stat Arb Performance
1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -4,32% -5,19%
Annualized since inception -6,33% -7,60%
Month to date 0,12% 0,81%
Week to date 0,14% 1,03%
Today 12-05-2011 0,14% 1,03%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -5,97% 0,00%
Risk
Annualized volatility 8,52% 26,25%
Beta against S&P 500 0,03 1,00
Correlation against S&P 500 0,09 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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