1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -3,45% -10,39%
Annualized since inception -5,34% -16,07%
Month to date -1,01% -5,21%
Week to date -0,22% -2,27%
Today 11-22-2011 -0,06% -0,41%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -4,50% 0,00%
Risk
Annualized volatility 8,68% 25,89%
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