1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -2,83% -7,58%
Annualized since inception -5,14% -13,76%
Month to date 0,59% 8,30%
Week to date -1,38% 0,07%
Today 10-18-2011 -1,71% 2,04%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -3,87% 0,00%
Risk
Annualized volatility 8,70% 25,62%
Beta against S&P 500 0,09 1,00
Correlation against S&P 500 0,26 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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