This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. The statistical arbitrage strategy has underperformed the S&P 500 with lower annualized returns and higher volatility. However, it has experienced much smaller drawdowns than the S&P 500 and has a very low correlation and beta, indicating it performs differently than the broader market.

1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -2,91% -4,67%
Annualized since inception -4,73% -7,58%
Month to date -0,46% 0,84%
Week to date -0,13% 0,85%
Today 11-11-2011 -0,50% 1,95%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -4,18% 0,00%
Risk
Annualized volatility 8,80% 26,16%
Beta against S&P 500 0,04 1,00
Correlation against S&P 500 0,12 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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2. 0,80
0,85
0,90
0,95
1,00
1,05
31-Mar
10-Apr
20-Apr
30-Apr
10-May
20-May
30-May
9-Jun
Daily Performance
19-Jun
29-Jun
9-Jul
19-Jul
29-Jul
8-Aug
18-Aug
28-Aug
7-Sep
17-Sep
27-Sep
7-Oct
17-Oct
27-Oct
6-Nov
S&P 500
16-Nov
StatArb
26-Nov
Inception date=1
Statistical Arbitrage track record - daily updated

3. Statistical Arbitrage track record - daily updated
S&P 500 StatArb
Best 3 market days1/
08-09-2011 4,74% -0,28%
08-11-2011 4,63% -0,49%
08-23-2011 3,43% 0,43%
Worst 3 market days1/
08-08-2011 -6,66% 0,39%
08-04-2011 -4,78% 0,74%
08-18-2011 -4,46% -1,35%
1/ since inception date 03-31-2011