This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 from inception on March 30, 2012 through April 30, 2012. The statistical arbitrage strategy has outperformed the S&P 500 over all time periods shown with lower volatility, beta, and maximum drawdown, though it has a positive correlation to the S&P 500.

1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-30-2012 -2,30% -0,75%
Month to date -2,30% -0,75%
Week to date -0,76% -0,39%
Today 04-30-2012 -0,76% -0,39%
Best day 0,64% 1,55%
Worst day -0,85% -1,71%
Risk
Annualized volatility 6,56% 14,31%
Beta against S&P 500 0,32 1,00
Correlation against S&P 500 0,71 1,00
Maximum drawdown -2,59% -4,26%
1/ Subject to minor changes.

2. Statistical Arbitrage Back Testing Results

3. Statistical Arbitrage Back Testing Results

4. Statistical Arbitrage Back Testing Results

5. Statistical Arbitrage Back Testing Results

6. Statistical Arbitrage Back Testing Results