1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -5,21% -5,42%
Annualized since inception -7,15% -7,43%
Month to date -0,82% 0,56%
Week to date 0,03% 2,82%
Today 12-22-2011 0,32% 0,83%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -3 bp 0 bp
Annualized Alpha -6,85% 0,00%
Risk
Annualized volatility 8,34% 25,91%
Beta against S&P 500 0,02 1,00
Correlation against S&P 500 0,07 1,00
Maximum drawdown -9,73% -19,39%
1/ Subject to minor changes.
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2. Statistical Arbitrage track record - daily updated
Daily Performance Inception date=1
1,05
StatArb
1,00
0,95
0,90
S&P 500
0,85
0,80
10-May
30-May
16-Dec
19-Jun
6-Nov
31-Mar
7-Sep
20-Apr
18-Aug
26-Nov
9-Jul
29-Jul
27-Sep
17-Oct

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