1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -4,60% -7,55%
Annualized since inception -6,54% -10,72%
Month to date -0,18% -1,70%
Week to date -0,09% -2,35%
Today 12-13-2011 -0,25% -0,87%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -6,11% 0,00%
Risk
Annualized volatility 8,44% 26,08%
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.
Visit PRACK Asset Management company profile on LinkedIn to learn more