The statistical arbitrage fund reported lower returns than the S&P 500 since inception in March 2011, with annualized returns of -6.52% compared to -9.13% for the S&P 500. The fund exhibited much lower volatility than the market with an annualized volatility of 8.57% versus 26.37% for the S&P 500. While the fund lagged the sharply rising market in December, its maximum drawdown was lower than the S&P 500's at -9.39% versus -19.39%.

1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -4,38% -6,13%
Annualized since inception -6,52% -9,13%
Month to date 0,05% -0,19%
Week to date -1,17% 7,41%
Today 12-01-2011 0,05% -0,19%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -6,10% 0,00%
Risk
Annualized volatility 8,57% 26,37%
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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2. 0,80
0,85
0,90
0,95
1,00
1,05
31-Mar
10-Apr
20-Apr
30-Apr
10-May
20-May
30-May
9-Jun
19-Jun
Daily Performance
29-Jun
9-Jul
19-Jul
29-Jul
8-Aug
18-Aug
28-Aug
7-Sep
17-Sep
27-Sep
7-Oct
17-Oct
27-Oct
6-Nov
16-Nov
26-Nov
S&P 500
6-Dec
StatArb
16-Dec
26-Dec
Inception date=1
Statistical Arbitrage track record - daily updated

3. Statistical Arbitrage track record - daily updated
S&P 500 StatArb
Best 3 market days1/
08-09-2011 4,74% -0,28%
08-11-2011 4,63% -0,49%
11-30-2011 4,33% -0,44%
Worst 3 market days1/
08-08-2011 -6,66% 0,39%
08-04-2011 -4,78% 0,74%
08-18-2011 -4,46% -1,35%
1/ since inception date 03-31-2011