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Statistical Arbitrage track record - daily updated
                                              StatArb1/          S&P 500
Return
 Since inception 03-31-2011                      -5,37%            -4,56%
 Annualized since inception                      -7,34%            -6,24%
 Month to date                                   -0,98%            1,47%
 Week to date                                    -0,13%            3,74%
 Today 12-23-2011                                -0,16%            0,90%
 Best day                                        1,42%             4,74%
 Worst day                                       -1,83%            -6,66%
 Daily Alpha against S&P 500                      -3 bp              0 bp
 Annualized Alpha                                -7,06%            0,00%
Risk
  Annualized volatility                          8,32%            25,87%
  Beta against S&P 500                            0,02              1,00
  Correlation against S&P 500                     0,07              1,00
  Maximum drawdown                               -9,73%           -19,39%
1/ Subject to minor changes.

     Visit PRACK Asset Management company profile on LinkedIn to learn more
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
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

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Stat Arb Performance

  • 1. Statistical Arbitrage track record - daily updated StatArb1/ S&P 500 Return Since inception 03-31-2011 -5,37% -4,56% Annualized since inception -7,34% -6,24% Month to date -0,98% 1,47% Week to date -0,13% 3,74% Today 12-23-2011 -0,16% 0,90% Best day 1,42% 4,74% Worst day -1,83% -6,66% Daily Alpha against S&P 500 -3 bp 0 bp Annualized Alpha -7,06% 0,00% Risk Annualized volatility 8,32% 25,87% Beta against S&P 500 0,02 1,00 Correlation against S&P 500 0,07 1,00 Maximum drawdown -9,73% -19,39% 1/ Subject to minor changes. Visit PRACK Asset Management company profile on LinkedIn to learn more
  • 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