Stat Arb Performance
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The document summarizes the statistical arbitrage track record of a fund called StatArb1 compared to the S&P 500 index from inception on March 31, 2011 through December 28, 2011. It shows that StatArb1 has underperformed the S&P 500 on a return basis since inception but with lower annualized volatility, beta, correlation, and maximum drawdown, demonstrating lower risk. The best and worst three market days for both StatArb1 and the S&P 500 are also listed.
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Stat Arb Performance
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.
Stat Arb Performance
The document summarizes the statistical arbitrage track record of a fund called StatArb1 compared to the S&P 500 index from inception on March 31, 2011 through December 13, 2011. It shows that StatArb1 has underperformed the S&P 500 on all return metrics over this period, with lower annualized and monthly returns but also lower volatility, beta, correlation, and maximum drawdown compared to the S&P 500.
Stat Arb Performance
The document summarizes the statistical arbitrage track record of a fund compared to the S&P 500 from inception on March 31, 2011 through December 8, 2011. The fund has underperformed the S&P 500 since inception with returns of -4.68% versus -6.90% for the S&P 500. The fund aims to achieve positive returns with lower risk than the market as evidenced by its lower beta, volatility, correlation and maximum drawdown compared to the S&P 500.
Stat Arb Performance
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.
Stat Arb Performance
This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index from inception on March 31, 2011 through December 22, 2011. The statistical arbitrage strategy has underperformed the S&P 500 on a year-to-date, annualized, and maximum drawdown basis but has lower volatility and essentially no correlation to the stock market. It has also outperformed on the strategy's best and worst market days compared to the S&P 500.
Stat Arb Performance
This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. It shows that the stat arb strategy has outperformed the S&P 500 with lower volatility, beta, and maximum drawdown, though it has a negative annualized return. Specifically, it provides the best and worst 3 market days for both the index and strategy.
Stat Arb Performance
The statistical arbitrage fund has underperformed the S&P 500 since inception in March 2011, with returns of -3.04% compared to -8.27% for the S&P 500. The fund has lower risk metrics like volatility, beta, and maximum drawdown. It has daily alpha of -2 basis points and annualized alpha of -4.06% compared to the S&P 500. The best and worst days for the fund differ from the S&P 500 on those same days.
Stat Arb Performance
The statistical arbitrage fund has outperformed the S&P 500 index since inception in March 2011, with returns of -3.38% compared to -12.37% for the S&P 500. The fund has lower risk metrics like volatility, beta, and maximum drawdown. It has experienced positive returns on the S&P 500's worst days and negative returns on some of the S&P 500's best days, demonstrating its ability to produce returns independent of the overall market direction.
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Stat Arb Performance
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.
Stat Arb Performance
The document summarizes the statistical arbitrage track record of a fund called StatArb1 compared to the S&P 500 index from inception on March 31, 2011 through December 13, 2011. It shows that StatArb1 has underperformed the S&P 500 on all return metrics over this period, with lower annualized and monthly returns but also lower volatility, beta, correlation, and maximum drawdown compared to the S&P 500.
Stat Arb Performance
The document summarizes the statistical arbitrage track record of a fund compared to the S&P 500 from inception on March 31, 2011 through December 8, 2011. The fund has underperformed the S&P 500 since inception with returns of -4.68% versus -6.90% for the S&P 500. The fund aims to achieve positive returns with lower risk than the market as evidenced by its lower beta, volatility, correlation and maximum drawdown compared to the S&P 500.
Stat Arb Performance
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.
Stat Arb Performance
This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index from inception on March 31, 2011 through December 22, 2011. The statistical arbitrage strategy has underperformed the S&P 500 on a year-to-date, annualized, and maximum drawdown basis but has lower volatility and essentially no correlation to the stock market. It has also outperformed on the strategy's best and worst market days compared to the S&P 500.
Stat Arb Performance
This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. It shows that the stat arb strategy has outperformed the S&P 500 with lower volatility, beta, and maximum drawdown, though it has a negative annualized return. Specifically, it provides the best and worst 3 market days for both the index and strategy.
Stat Arb Performance
The statistical arbitrage fund has underperformed the S&P 500 since inception in March 2011, with returns of -3.04% compared to -8.27% for the S&P 500. The fund has lower risk metrics like volatility, beta, and maximum drawdown. It has daily alpha of -2 basis points and annualized alpha of -4.06% compared to the S&P 500. The best and worst days for the fund differ from the S&P 500 on those same days.
Stat Arb Performance
The statistical arbitrage fund has outperformed the S&P 500 index since inception in March 2011, with returns of -3.38% compared to -12.37% for the S&P 500. The fund has lower risk metrics like volatility, beta, and maximum drawdown. It has experienced positive returns on the S&P 500's worst days and negative returns on some of the S&P 500's best days, demonstrating its ability to produce returns independent of the overall market direction.
Stat Arb Performance
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 outperformed the S&P 500 with lower volatility, beta, correlation and maximum drawdown. Specifically, the statistical arbitrage strategy has returned -3.24% annually compared to -12.61% for the S&P 500.
Stat Arb Performance
The 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 and annualized return basis but with lower volatility, beta, and maximum drawdown. It has experienced negative returns on the S&P 500's best up days but gains on some of its worst down days.
Stat Arb Performance
The 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 lower drawdowns than the S&P 500 and has a low correlation and beta, demonstrating that it performs differently than the broader market.
Stat Arb Performance
The statistical arbitrage strategy has outperformed the S&P 500 since inception on March 31, 2011, with returns of 0.92% compared to -9.18% for the S&P 500. The strategy has an annualized return of 1.95% and annualized volatility of 6.95%, much lower than the S&P 500's annualized return of -19.49% and volatility of 24.49%. While the strategy had its largest single day loss of -1.35%, it has had a maximum drawdown of only -3.84%, far lower than the S&P 500's maximum drawdown of -17.90%.
Stat Arb Performance
The statistical arbitrage strategy has underperformed the S&P 500 index since inception in March 2011, with lower annualized and monthly returns. However, the strategy has significantly lower risk measures like volatility, beta, and maximum drawdown. While the S&P 500 had its best days, the strategy either had small negative returns or gains on those same days, showing it can provide downside protection in strong market moves.
Stat Arb Performance
The statistical arbitrage strategy has underperformed the S&P 500 since inception in March 2011, with lower annualized returns and higher volatility. However, it has experienced smaller drawdowns than the market and has a near-zero correlation and beta to the S&P 500, demonstrating its ability to act as a hedge against general market moves.
Stat Arb Performance
The 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 lower drawdowns than the S&P 500 and has a very low correlation and beta to the index, demonstrating that it performs differently than broad market movements.
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception in March 2011. The stat arb strategy has underperformed the index with lower annualized returns and higher volatility. However, it has experienced smaller drawdowns and has a very low correlation to the index, indicating it provides diversification during market downturns. The strategy lagged on the index's best days but outperformed on some of its worst days.
Stat Arb Performance
The statistical arbitrage fund has underperformed the S&P 500 index since inception in March 2011. It has lower annualized returns, lower monthly returns currently, and a larger maximum drawdown than the S&P 500. However, it also has significantly lower risk measures like volatility, beta, and correlation to the stock market. The statistical arbitrage strategy experienced its best days on different dates than large down days in the stock market, indicating it may provide diversification during market downturns.
Stat Arb Performance
The 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 smaller drawdowns and has a very low correlation and beta to the index, demonstrating that it performs differently than the broader market.
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. The stat arb strategy has underperformed the S&P 500 with lower annualized returns and higher volatility. However, it has experienced lower drawdowns and has a low correlation to the index, providing some diversification during down markets.
Stat Arb Performance
This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. It shows that the stat arb strategy has lower overall returns, volatility, maximum drawdown and beta than the S&P 500 over this period. Specifically, the stat arb strategy has returned -2.79% since inception compared to -5.48% for the S&P 500. It also has an annualized alpha of -3.98% compared to the S&P 500.
Stat Arb Performance
The statistical arbitrage fund reported lower returns than the S&P 500 since inception in March 2011, with annualized returns of -6.52% compared to -9.13% for the S&P 500. The fund exhibited much lower volatility than the market with an annualized volatility of 8.57% versus 26.37% for the S&P 500. While the fund lagged the sharply rising market in December, its maximum drawdown was lower than the S&P 500's at -9.39% versus -19.39%.
Stat Arb Performance
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 and annualized return basis, but has significantly lower volatility, beta, and maximum drawdown. It has experienced negative returns on the S&P 500's best up days and positive returns on some of the S&P 500's worst down days, demonstrating an ability to achieve alpha in volatile markets.
Stat Arb Performance
The 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 lower drawdowns than the S&P 500 and has a low correlation and beta, demonstrating it can act as a hedge in falling markets.
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Stat Arb Performance
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 outperformed the S&P 500 with lower volatility, beta, correlation and maximum drawdown. Specifically, the statistical arbitrage strategy has returned -3.24% annually compared to -12.61% for the S&P 500.
Stat Arb Performance
The 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 and annualized return basis but with lower volatility, beta, and maximum drawdown. It has experienced negative returns on the S&P 500's best up days but gains on some of its worst down days.
Stat Arb Performance
The 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 lower drawdowns than the S&P 500 and has a low correlation and beta, demonstrating that it performs differently than the broader market.
Stat Arb Performance
The statistical arbitrage strategy has outperformed the S&P 500 since inception on March 31, 2011, with returns of 0.92% compared to -9.18% for the S&P 500. The strategy has an annualized return of 1.95% and annualized volatility of 6.95%, much lower than the S&P 500's annualized return of -19.49% and volatility of 24.49%. While the strategy had its largest single day loss of -1.35%, it has had a maximum drawdown of only -3.84%, far lower than the S&P 500's maximum drawdown of -17.90%.
Stat Arb Performance
The statistical arbitrage strategy has underperformed the S&P 500 index since inception in March 2011, with lower annualized and monthly returns. However, the strategy has significantly lower risk measures like volatility, beta, and maximum drawdown. While the S&P 500 had its best days, the strategy either had small negative returns or gains on those same days, showing it can provide downside protection in strong market moves.
Stat Arb Performance
The statistical arbitrage strategy has underperformed the S&P 500 since inception in March 2011, with lower annualized returns and higher volatility. However, it has experienced smaller drawdowns than the market and has a near-zero correlation and beta to the S&P 500, demonstrating its ability to act as a hedge against general market moves.
Stat Arb Performance
The 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 lower drawdowns than the S&P 500 and has a very low correlation and beta to the index, demonstrating that it performs differently than broad market movements.
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception in March 2011. The stat arb strategy has underperformed the index with lower annualized returns and higher volatility. However, it has experienced smaller drawdowns and has a very low correlation to the index, indicating it provides diversification during market downturns. The strategy lagged on the index's best days but outperformed on some of its worst days.
Stat Arb Performance
The statistical arbitrage fund has underperformed the S&P 500 index since inception in March 2011. It has lower annualized returns, lower monthly returns currently, and a larger maximum drawdown than the S&P 500. However, it also has significantly lower risk measures like volatility, beta, and correlation to the stock market. The statistical arbitrage strategy experienced its best days on different dates than large down days in the stock market, indicating it may provide diversification during market downturns.
Stat Arb Performance
The 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 smaller drawdowns and has a very low correlation and beta to the index, demonstrating that it performs differently than the broader market.
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. The stat arb strategy has underperformed the S&P 500 with lower annualized returns and higher volatility. However, it has experienced lower drawdowns and has a low correlation to the index, providing some diversification during down markets.
Stat Arb Performance
This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. It shows that the stat arb strategy has lower overall returns, volatility, maximum drawdown and beta than the S&P 500 over this period. Specifically, the stat arb strategy has returned -2.79% since inception compared to -5.48% for the S&P 500. It also has an annualized alpha of -3.98% compared to the S&P 500.
Stat Arb Performance
The statistical arbitrage fund reported lower returns than the S&P 500 since inception in March 2011, with annualized returns of -6.52% compared to -9.13% for the S&P 500. The fund exhibited much lower volatility than the market with an annualized volatility of 8.57% versus 26.37% for the S&P 500. While the fund lagged the sharply rising market in December, its maximum drawdown was lower than the S&P 500's at -9.39% versus -19.39%.
Stat Arb Performance
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 and annualized return basis, but has significantly lower volatility, beta, and maximum drawdown. It has experienced negative returns on the S&P 500's best up days and positive returns on some of the S&P 500's worst down days, demonstrating an ability to achieve alpha in volatile markets.
Stat Arb Performance
The 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 lower drawdowns than the S&P 500 and has a low correlation and beta, demonstrating it can act as a hedge in falling markets.
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This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. It shows that the stat arb strategy has underperformed the S&P 500 with lower annualized returns and higher volatility. Specifically, the stat arb strategy has returned -4.45% since inception compared to -6.15% for the S&P 500. The strategy also has lower correlation and beta to the market compared to the S&P 500.
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Robert Dacey, Chief Accountant Government Accountability Office USA - IFAC So...
Don Ho - Challenges and Opportunities for the SMP in Singapore
Don Ho - Challenges and Opportunities for the SMP in Singapore
Economic Survey of India 2011-12 - A FICCI Analysis
Economic Survey of India 2011-12 - A FICCI Analysis
The Global Accounting Profession: Working to Strengthen the Global Economy
The Global Accounting Profession: Working to Strengthen the Global Economy
Ian Ball - International Actuarial Association Presentation
Ian Ball - International Actuarial Association Presentation
Brief aan mevr van der auwera vz commissie bedrijfsleven 30 november 2011
Brief aan mevr van der auwera vz commissie bedrijfsleven 30 november 2011
Similar to Stat Arb Performance
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy called StatArb compared to the S&P 500 index since inception on March 31, 2011. Some key points:
- StatArb has underperformed the S&P 500 since inception, with returns of -2.83% versus -7.58% for the S&P 500. Its annualized returns and volatility have also been lower.
- StatArb has experienced less volatility, drawdown, and correlation to the market than the S&P 500 as evidenced by its lower beta, correlation, and maximum drawdown.
- On the best 3 days for the market, StatArb underperformed or had small positive returns
Stat Arb Performance
The statistical arbitrage fund (StatArb) has underperformed the S&P 500 index since inception in March 2011. StatArb has an annualized return of -3.57% compared to -16.74% for the S&P 500. In the past month, StatArb returned 1.54% while the S&P 500 returned 6.70%. StatArb has lower risk than the S&P 500 as measured by annualized volatility of 8.48% versus 25.59% for the S&P 500.
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. Some key points:
- The stat arb strategy has underperformed the S&P 500 since inception with returns of -2.07% versus -7.30% for the index. However, it has significantly lower risk as measured by volatility and maximum drawdown.
- On a daily basis, the strategy has generally had slightly negative or positive returns on good and bad days for the market, resulting in an annualized alpha of -2.40% versus the index.
- Risk measures like beta, correlation, and volatility are much lower for the strategy compared
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. Some key points:
- The stat arb strategy has underperformed the S&P 500 since inception, with returns of -2.87% versus -8.33% for the index. It has lower annualized volatility and maximum drawdown.
- On a monthly basis the strategy is up 0.55% in October, compared to a 7.42% gain for the S&P 500.
- The strategy has experienced negative returns on its worst days but outperformed the market, while underperforming on the index's best days.
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. It shows that the stat arb strategy has underperformed the S&P 500 with lower annualized returns and higher volatility. Specifically, the stat arb strategy has returned -3.65% since inception compared to -3.07% for the S&P 500. It also has significantly lower risk than the overall market as measured by its beta of 0.07.
Stat Arb Performance
This statistical arbitrage strategy has underperformed the S&P 500 since its inception in March 2011, with annualized returns of -4.74% compared to -8.06% for the S&P. It has lower volatility, beta, correlation, and maximum drawdown than the market. While it had negative returns on three of the S&P's best days, it was positive on two of the market's worst three days over the period.
Stat Arb Performance
The statistical arbitrage strategy has outperformed the S&P 500 since inception in March 2011, with lower volatility and maximum drawdown. It has an annualized return of -2.08% compared to -17.2% for the S&P 500. While it has a low correlation of 0.3 to the index, it has also achieved positive returns on several of the S&P 500's worst days through hedging strategies.
Stat Arb Performance
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 lower risk as measured by volatility, beta, and maximum drawdown. On its best days, the strategy failed to outperform the market's gains, but on the market's worst days, the strategy either gained or had smaller losses than the S&P 500.
Stat Arb Performance
The document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. Some key points:
- The statistical arbitrage strategy has underperformed the S&P 500 since inception, with returns of -1.47% annualized vs -7.64% for the index.
- However, the strategy has significantly lower risk than the index, with annualized volatility of 8.44% vs 25.52% for the S&P 500.
- On its best days, the strategy has outperformed or kept pace with the S&P 500's gains, while on down days it has held up better or gained relative to sharp
Stat Arb Performance
The 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 volatility. However, it has experienced smaller drawdowns and has had positive performance on some of the market's worst days, showing it may provide a hedge in falling markets.
Stat Arb Factsheet November 21 2011
This document summarizes a statistical arbitrage managed account strategy. [1] It targets double digit annual returns with 7% volatility through a model-driven, market neutral strategy that scans hundreds of instruments for long and short opportunities. [2] The strategy has near zero correlation to equity indices, uses no leverage, and seeks a Sharpe ratio above 1. [3] Positions typically last 10 days, making it a high turnover strategy.
Stat Arb Factsheet October 6 2011
Statistical Arbitrage is a market neutral strategy that seeks double digit annual returns with low volatility of 7% through a model-driven process of scanning hundreds of equity instruments across all sectors to find long and short positioning opportunities. The strategy has near zero correlation to equity indices, uses no leverage, and aims for a Sharpe ratio above 1. Individual positions typically last around 10 days, making it a high turnover strategy. Diversification from incorporating this uncorrelated strategy provides significant benefits to an overall portfolio.
Stat Arb Factsheet September 28 2011
The statistical arbitrage strategy targets double digit annual returns with 7% volatility through a model-driven, market neutral strategy that scans hundreds of equity instruments to identify long and short positioning opportunities. For the period from March 2011 to September 2011, the strategy had annualized returns of -4.78% compared to -26.58% for the S&P 500, with a beta of 0.07, correlation of 0.22, and maximum drawdown of -7.26% over 28 days. The strategy maintains around 72 positions with average holding periods of 9 days and portfolio turnover of 15.9%.
2011 06 15 Risk Management Association V2
The document discusses the economic recovery of Southern Nevada from the recession. It provides data on housing prices, job growth, unemployment rates, consumer confidence and other economic indicators from 2001 to 2011. While some indicators like housing prices and unemployment have improved from their lowest points, the recovery has been slow and the region still faces challenges in achieving stronger and sustained job and income growth.
Similar to Stat Arb Performance (14)
Stat Arb Performance
- 1. Statistical Arbitrage track record - daily updated StatArb1/ S&P 500 Return Since inception 03-31-2011 -6,16% -5,75% Annualized since inception -8,27% -7,71% Month to date -1,81% 0,21% Week to date -1,00% -0,35% Today 12-28-2011 -0,55% -1,25% Best day 1,42% 4,74% Worst day -1,83% -6,66% Daily Alpha against S&P 500 -3 bp 0 bp Annualized Alpha -8,06% 0,00% Risk Annualized volatility 8,30% 25,77% Beta against S&P 500 0,02 1,00 Correlation against S&P 500 0,07 1,00 Maximum drawdown -10,34% -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