The document summarizes the performance of the Argie Bond Quant Portfolio compared to the IAMC Bond Index from inception in December 2011 through October 2012. While the portfolio has underperformed the index since inception with returns of 29.72% versus 33.39%, it has lower annualized volatility of 8.52% compared to the index's 9.2% and has achieved an annualized alpha of 11.52% against the index.

1. Argie Bond Quant Portfolio track record
1/
ABQ Portfolio IAMC Index
Return
Since inception 12/07/2011 29,72% 33,39%
Annualized 36,26% 40,86%
Year to date 25,96% 28,38%
Month to date -0,83% 0,93%
Week to date -1,53% -1,36%
Last day 10/09/2012 -1,53% -1,36%
Best day 1,45% 1,71%
Worst day -1,53% -1,53%
Daily Alpha against IAMC Bond Index 5 pb -
Annualized Alpha 11,52% -
Risk
Annualized volatility 8,52% 9,20%
Beta against IAMC Bond Index 0,61 1,00
Correlation against IAMC Bond Index 0,65 1,00
Maximum drawdown -5,21% -5,85%
1/ Suject to minor changes
For more info go to PRACK Asset Management's company profile in LinkedIn.

2. Argie Bond Quant Portfolio track record
Daily data Inception date 12/07/2011 =1
1,40
1,35
1,30
1,25
ABQ Portfolio
1,20
1,15
1,10
1,05 IAMC Index
1,00
0,95
0,90
D J F M A M J J A S
2012
2011