1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-30-2012 -2,30% -0,75%
Month to date -2,30% -0,75%
Week to date -0,76% -0,39%
Today 04-30-2012 -0,76% -0,39%
Best day 0,64% 1,55%
Worst day -0,85% -1,71%
Risk
Annualized volatility 6,56% 14,31%
Beta against S&P 500 0,32 1,00
Correlation against S&P 500 0,71 1,00
Maximum drawdown -2,59% -4,26%
1/ Subject to minor changes.
