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 on a cumulative, annualized, and month-to-date basis. It has lower annualized volatility, beta, and maximum drawdown than the S&P 500. The best and worst days for the strategy differ from the S&P 500, with the strategy generating negative returns on some of the market's strongest up days and positive returns on some of its strongest down days.