1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -4,68% -6,90%
Annualized since inception -6,78% -9,99%
Month to date -0,26% -1,01%
Week to date -0,25% -0,80%
Today 12-08-2011 0,39% -2,11%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -3 bp 0 bp
Annualized Alpha -6,36% 0,00%
Risk
Annualized volatility 8,51% 26,14%
Beta against S&P 500 0,03 1,00
Correlation against S&P 500 0,08 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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