QARMA Performance Presentation on Days when S&P went down by more than -1.5%

1. QARMA Performance on Extreme Market Move Days
Addressing Questions by Garrett Jones
Partha Chakraborty, Ph.D., CFA
Since Sep 15, 2010, there have been 35 instances where S&P went down by -1.5% or more. We study
QARMA live net returns and Strategy Alpha (= QARMA net return – S&P 500 return).
10.00%
QARMA Return Premium over S&P on Extreme Market
Days (S&P Return < = -1.5%)
8.00%
8.30%
6.00% 6.62%
5.43%
4.00% 4.54%4.80% 4.29% 4.27%
3.69% 3.90% 3.70%
3.40% 3.46%
2.00% 2.74% 2.84%
2.81% 2.68% 2.72%
2.43%
2.39%
1.79% 1.87% 1.84% 2.01%
1.45%1.68%1.69% 1.28% 1.37%1.59%1.50%
1.14%
1.09%
0.00% 0.75% 0.76% 0.48%
-1.59% -1.57%
-1.59%-1.78% -1.89% -1.74% -1.50%
-1.55% -1.66%
-1.68%
-2.05% -1.95% -1.81%
-2.27% -2.03% -2.04% -1.94%
-2.00% -1.86%-2.11%
-2.21%
-2.00% -2.56% -2.52%
-2.67% -2.50% -2.47%
-2.94% -2.85% -2.79%
-3.19%
-3.67%
-4.00% -4.37%
-4.45%
-4.78%
-6.00% -6.65%
-8.00%
S&P Alpha
For example on 8/10/2011, S&P returned -6.65%, while QARMA Alpha was +8.3%, implying QARMA net
return of +1.65% ( = -6.65% + 8.30%)
Observations:
1. Positive Alpha: Not a single day did QARMA have a negative alpha, implying that QARMA
outperformed S&P on every single extreme down days.
2. Avoidance of Negative: 54.3% of these days QARMA actually had positive net return.
3. Average return is positive: Average QARMA return = +0.29%, Average S&P Return = -2.49% for
these extreme days. Thus average alpha for the extreme down days = +2.78%.
Conclusion: On live trade QARMA has proven demonstrably superior on extreme down market moves.