Slides from PreSeed Academy #20 - Morten Poulsen (Speaker 2 of 3)
Stat Arb Performance
1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -4,45% -6,15%
Annualized since inception -6,60% -9,13%
Month to date -0,02% -0,21%
Week to date -1,24% 7,39%
Today 12-02-2011 -0,07% -0,02%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -6,16% 0,00%
Risk
Annualized volatility 8,54% 26,29%
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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