The statistical arbitrage strategy underperformed the S&P 500 index since inception in March 2011, with annualized returns of -6.74% compared to -11.70% for the S&P 500. In the past month and week, the strategy declined 0.37% and 0.28% respectively, outperforming the S&P 500's declines of 2.50% and 3.14%. The strategy has lower volatility, beta, correlation and maximum drawdown compared to the S&P 500.

1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -4,78% -8,30%
Annualized since inception -6,74% -11,70%
Month to date -0,37% -2,50%
Week to date -0,28% -3,14%
Today 12-15-2011 -0,15% 0,32%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -2 bp 0 bp
Annualized Alpha -6,27% 0,00%
Risk
Annualized volatility 8,40% 25,97%
Beta against S&P 500 0,03 1,00
Correlation against S&P 500 0,08 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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2. Statistical Arbitrage track record - daily updated
Daily Performance Inception date=1
1,05
StatArb
1,00
0,95
0,90
S&P 500
0,85
0,80
10-May
30-May
16-Dec
19-Jun
6-Nov
31-Mar
7-Sep
20-Apr
18-Aug
26-Nov
9-Jul
29-Jul
27-Sep
17-Oct

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%
11-30-2011 4,33% -0,44%
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