1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -3,24% -12,61%
Annualized since inception -4,96% -19,25%
Month to date -0,80% -7,55%
Week to date -0,21% -4,72%
Today 11-25-2011 0,12% -0,27%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -3,99% 0,00%
Risk
Annualized volatility 8,63% 25,87%
Beta against S&P 500 0,04 1,00
Correlation against S&P 500 0,11 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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