1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-30-2012 -1,55% -0,36%
Month to date -1,55% -0,36%
Week to date -0,14% 1,80%
Today 04-27-2012 0,21% 0,24%
Best day 0,64% 1,55%
Worst day -0,85% -1,71%
Risk
Annualized volatility 6,28% 14,62%
Beta against S&P 500 0,31 1,00
Correlation against S&P 500 0,73 1,00
Maximum drawdown -2,22% -4,26%
1/ Subject to minor changes.
