The document provides performance metrics for the ABQ Portfolio from inception in December 2011 through July 2013. It shows the portfolio has achieved an annualized return of 70.31% and annualized alpha of 3.73% above the IAMC Bond Index with annualized volatility of 12.24% and maximum drawdown of -7.19%. Risk metrics include a beta of 0.70 and correlation of 0.72 to the bond index.
1. Return
Since inception 12/07/2011
Annualized
Year 2012
Year to date
Month to date
Week to date
Last day 07/31/2013
Best day
Worst day
Annualized Alpha vs. IAMC Bond Index
Risk
Annualized volatility
Beta against IAMC Bond Index
Correlation against IAMC Bond Index
Maximum drawdown
1/ Suject to minor changes
ABQ Portfolio
1/
70,31%
6,20%
-0,62%
38,08%
20,45%
37,29%
-3,23%
-0,66%
3,73%
12,24%
10,98%
0,70
-7,19%
0,72
Argie Bond Quant Portfolio track record
For more info go to PRACK Asset Management's company profile on LinkedIn.
2. Daily data Inception date 12/07/2011 =1
Argie Bond Quant Portfolio track record
0,90
1,00
1,10
1,20
1,30
1,40
1,50
1,60
1,70
1,80
D
2011
J
2012
F M A M J J A S O N D J
2013
F M A M J J
Maximum drawdown Recovery ABQ Portfolio