1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -3,45% -6,71%
Annualized since inception -5,47% -10,64%
Month to date -1,01% -1,31%
Week to date -0,55% -2,13%
Today 11-16-2011 0,32% -1,66%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -4,83% 0,00%
Risk
Annualized volatility 8,76% 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.
Visit PRACK Asset Management company profile on LinkedIn to learn more