The document outlines the performance and risk metrics of an Argentinian Bond Quant investment strategy since its inception on December 7, 2011. Key statistics include an annualized return of 12.93%, a maximum drawdown over a 27-day period, and a Sharpe ratio of 1.35. Various year-to-date and monthly performance figures are provided, along with comparisons to the IAMC bond index.

1. Return
Since inception 12/07/2011 (2,59 years)
Annualized
Year 2012
Year 2013
Year to date
Month to date
Week to date
Last day 07/10/2014
Best day
Worst day
Risk
Annualized volatility
Beta / Correlation against IAMC Bond Index
VaR1% 1 day
Maximum drawdown (27 trading days to the bottom, 14 to recover)
Risk-adjusted
Annualized Alpha vs. IAMC Bond Index
Sharpe ratio (Risk free rate 17,32%)
1/ Composite of all accounts under management. Subject to minor changes.
1,65
Argie Bond Quant track record
-5,63%
5,04%
12,93%
0,75 / 0,78
-7,37%
-1,97%
17,68%
ABQ1/
133,31%
38,67%
36,79%
40,74%
3,78%
1,35%
1,01%
5,23%

2. Daily data Inception date 12/07/2011 =1
Argie Bond Quant track record
0,90
1,10
1,30
1,50
1,70
1,90
2,10
2,30
2,50
D
2011
J
2012
F M A M J J A S O N D J
2013
F M A M J J A S O N D J
2014
F M A M J J
Maximum drawdown Recovery Argie Bond Quant

3. J F M A M J J* A S O N D Year
2011 2,98% 2,98%
2012 4,49% 3,49% 2,63% 0,68% -1,85% 4,78% 5,24% 1,16% 4,44% -1,42% 2,31% 6,16% 36,79%
2013 6,17% -3,84% 4,93% 6,48% -2,74% -0,43% 6,34% 2,49% 7,49% 8,70% -1,06% 1,12% 40,74%
2014 8,50% 1,64% 0,14% 0,61% 2,78% -0,70% 3,78% 17,68%
* as of 07/10/2014
Argie Bond Quant track record