1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -2,14% -6,63%
Annualized since inception -3,61% -11,21%
Month to date 0,33% -1,23%
Week to date 1,57% -3,67%
Today 11-02-2011 -0,54% 1,61%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -1 bp 0 bp
Annualized Alpha -2,78% 0,00%
Risk
Annualized volatility 8,90% 26,01%
Beta against S&P 500 0,06 1,00
Correlation against S&P 500 0,16 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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