1. StatArb - Statistical Arbitrage Managed Account
Statistical Arbitrage is a market neutral strategy that targets double digit annual
returns and a 7% volatility. It's a model driven strategy that scans hundreds of equity
instruments among all sectors in search for long-short positioning opportunities. Market
neutrality should manifest through near zero beta and correlation coefficients against all
major equity indices. The strategy follows no benchmark, uses NO leverage, and seeks an
above 1 Sharpe ratio. Typically a position lives around 10 days in the portfolio, making StatArb
a high turnover strategy. Always keep in mind the significant benefits from diversification
that your overall portfolio will experience when incorporating an uncorrelated strategy.
All data and analysis corresponds to the 125 trading day period between 03-31-2011 and 09-28-2011
StatArb S&P 500
Return Daily performance Inception date=1
Since inception 03-31-2011 -2,37% -13,18%
Annualized since inception -4,78% -26,58% 1,05
Month to date -5,76% -5,56%
Week to date 0,58% 1,29%
Today 09-28-2011 -1,22% -2,07%
Best day 1,10% 4,74%
Worst day -1,67% -6,66% 1,00
Daily Alpha against S&P 500 -1 bp 0 bp
Annualized Alpha -2,76% 0,00%
Risk
Annualized volatility 7,89% 25,01%
0,95
Beta against S&P 500 0,07 1,00
9-Jul
19-Jul
29-Jul
31-Mar
10-Apr
20-Apr
30-Apr
10-May
20-May
30-May
9-Jun
19-Jun
29-Jun
8-Aug
18-Aug
28-Aug
7-Sep
17-Sep
27-Sep
Correlation against S&P 500 0,22 1,00
Maximum drawdown -7,26% -17,90%
Days to the minimum 28 69
Maximum Drawdown Recovery StatArb
Date of the minimum 09-23-11 08-08-11
Days to recovery 11 n.d. Daily return distribution
Next drawdown -3,14% -2,32%
Days to the minimum 21 60
Date of the minimum 09-14-11 07-26-11
Normal distribution Empirical distribution
Days to recovery n.d. 3
Next drawdown -0,73% -0,39%
Days to the minimum 21 10
Date of the minimum 06-02-11 04-20-11
Days to recovery 1 1
Risk-adjusted return
Sharpe ratio1/ -0,64 -1,08
Treynor ratio1/ -0,73 -0,27
Jensen's Alpha1/ -3,18% 0,00%
Other descriptive statistics
Days up 48% 54%
Days down 52% 46% -2% -1% 0% 1% 2%
Days between +/-1% 94% 63%
Days exceeding +/-2% 0% 15%
StatArb portfolio information Sector Breakdown
Number of open positions 72 Long Short
Long 37 Materials 18,4% 7,5%
Short 35 Energy 14,4% 12,0%
Average holding period (trading days)2/ 9 Information Technology 13,8% 6,3%
Portfolio turnover 15,9 Financials 13,0% 12,2%
Top five positions Utilities 11,4% 13,6%
Long positions Short positions Health Care 11,2% 16,6%
Baker Hughes Inc 4,0% Rockwell Collins Inc 5,0% Industrials 10,8% 13,0%
Coventry Health Care Inc 3,6% Medicines Co 4,2% Telecommunications 0,0% 8,0%
Microsoft Corp 3,4% Watson Pharmaceuticals Inco 3,7% Consumer Discretionary 6,9% 8,5%
AES Corp 3,4% Ford Motor Co 3,5% Consumer Staples 0,0% 2,4%
Glaxosmithkline ADR Represen 3,1% Bb&t Corporation 3,5% ETF's & Others 0,0% 0,0%
Monthly Performance
Jan Feb Mar Apr May Jun Jul Aug Sep* Oct Nov Dec YTD
2011 4,20% -0,85% 0,07% -2,86% 3,16% -5,76% -2,37%
* as of 09-28-2011
1/ Calculation based on annualized returns and a 0,27% risk free rate corresponding to a 1 year US Treasury Bond yield at inception date.
2/ Closed trades only.