1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -4,43% -5,95%
Annualized since inception -6,62% -8,90%
Month to date -2,01% -0,51%
Week to date -1,22% 7,62%
Today 11-30-2011 -0,44% 4,33%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -6,22% 0,00%
Risk
Annualized volatility 8,59% 26,45%
Beta against S&P 500 0,03 1,00
Correlation against S&P 500 0,09 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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