1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -3,76% -5,13%
Annualized since inception -5,99% -8,18%
Month to date -1,33% 0,36%
Week to date -0,87% -0,48%
Today 11-15-2011 -0,45% 0,48%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -5,48% 0,00%
Risk
Annualized volatility 8,78% 26,03%
Beta against S&P 500 0,04 1,00
Correlation against S&P 500 0,12 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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