Stat Arb Performance
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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.
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StatArb Performance
This document summarizes the performance of a statistical arbitrage fund (StatArb1) compared to the S&P 500 index from inception on March 30, 2012 through May 2, 2012. It shows that StatArb1 has lower returns than the S&P 500 since inception and month-to-date, but lower volatility, beta, and maximum drawdown, indicating it may be a less risky investment.
Stat Arb Performance
This document provides the performance statistics of a statistical arbitrage strategy called StatArb1 compared to the S&P 500 index from inception on March 30, 2012 through April 27, 2012. It shows that StatArb1 has lower returns but significantly lower risk than the S&P 500 as measured by volatility, beta, correlation, and maximum drawdown.
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StatArb Performance
This document summarizes the performance of a statistical arbitrage fund (StatArb1) compared to the S&P 500 index from inception on March 30, 2012 through May 2, 2012. It shows that StatArb1 has lower returns than the S&P 500 since inception and month-to-date, but lower volatility, beta, and maximum drawdown, indicating it may be a less risky investment.
Stat Arb Performance
This document provides the performance statistics of a statistical arbitrage strategy called StatArb1 compared to the S&P 500 index from inception on March 30, 2012 through April 27, 2012. It shows that StatArb1 has lower returns but significantly lower risk than the S&P 500 as measured by volatility, beta, correlation, and maximum drawdown.
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Argie bond quant portfolio track record
The document provides performance metrics for the Argie Bond Quant Portfolio track record since inception in December 2011. It shows annualized returns of 9.96% and annualized alpha versus the IAMC Bond Index of -0.57%. Risk metrics include annualized volatility of 15.99% and maximum drawdown of 40.30%. The portfolio track record and additional information can be found on PRACK Asset Management's LinkedIn profile.
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This document provides performance metrics for the ABQ Portfolio from inception on December 7, 2011 through May 22, 2013. It shows the portfolio's annualized and year-to-date returns, monthly returns, weekly returns, and single best and worst day returns. It also includes the portfolio's annualized alpha, risk measures like volatility and beta, and maximum drawdown of -5.21%. Additional information on the portfolio can be found by checking PRACK Asset Management's LinkedIn profile.
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This document provides performance metrics for the ABQ Portfolio from inception on December 7, 2011 through July 2, 2013. It shows the portfolio's annualized and year-to-date returns, monthly returns, weekly returns, and single day returns. It also lists the portfolio's best and worst single days, its annualized alpha against a bond index, risk measures like annualized volatility and beta, and its maximum drawdown of 7.19%. More information on the portfolio can be found on the LinkedIn profile for PRACK Asset Management.
Argie bond quant portfolio track record
This document provides performance metrics for the Argie Bond Quant Portfolio track record managed by PRACK Asset Management including annualized returns of 12.56% since inception in 2011, annualized alpha of 0.86% versus the IAMC Bond Index, and a maximum drawdown of 37.29%. A chart shows the portfolio's value and maximum drawdown from inception to July 2013.
Argie bond quant portfolio track record
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Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.
Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that ...
Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.
Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that ...
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Argie bond quant portfolio track record
This document provides performance metrics for the ABQ Portfolio from inception in December 2011 through May 2013, including annualized returns, year-to-date returns, month-to-date returns, week-to-date returns, best and worst single day returns, annualized alpha, risk measures, and maximum drawdown of -5.21%. It also includes a chart showing the maximum drawdown and recovery of the ABQ Portfolio over time. For more information, it directs the reader to PRACK Asset Management's LinkedIn profile.
Argie bond quant portfolio track record
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Argie bond quant track record
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Argie bond quant track record
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Argie bond quant portfolio track record
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Argie bond quant portfolio track record
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Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.
Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that ...
Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.
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This document contains the results of a survey about lecturer quality and service at a university. It includes:
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- The survey method involved distributing questionnaires to get responses without needing an interviewer present for efficiency.
- The survey results in a table showing responses about Satisfaction (S), Knowledge (KK), Attitude (J), and Teaching Performance (TP).
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Argie bond quant portfolio track record
This document provides performance metrics for the ABQ Portfolio from inception in December 2011 through May 2013, including annualized returns, year-to-date returns, month-to-date returns, week-to-date returns, best and worst single day returns, annualized alpha, risk measures, and maximum drawdown of -5.21%. It also includes a chart showing the maximum drawdown and recovery of the ABQ Portfolio over time. For more information, it directs the reader to PRACK Asset Management's LinkedIn profile.
Argie bond quant portfolio track record
The document provides performance metrics for the ABQ Portfolio from inception in December 2011 through mid-July 2013. It shows the portfolio's annualized and year-to-date returns, monthly returns, and best and worst single-day performances. It also includes risk metrics like annualized volatility, beta, correlation, and maximum drawdown compared to an index.
Argie bond quant portfolio track record
This document provides performance metrics for the Argie Bond Quant Portfolio track record managed by PRACK Asset Management. It shows annualized returns of 10.75% since inception in December 2011. Risk metrics include an annualized volatility of 10.88% and a maximum drawdown of 37.68%. For more information on PRACK Asset Management, check their LinkedIn company profile.
Argie bond quant track record
Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.
Argie bond quant track record
Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.
Argie bond quant portfolio track record
This document provides performance metrics for the ABQ Portfolio from inception in December 2011 through May 2013. It shows the portfolio has achieved an annualized return of 64.94% and annualized alpha of 1.06% above the IAMC Bond Index with annualized volatility of 9.09% and a maximum drawdown of -5.21%. It directs the reader to PRACK Asset Management's LinkedIn profile for more information.
Argie bond quant portfolio track record
This document provides performance metrics for the ABQ Portfolio from inception on December 7, 2011 through July 26, 2013. It shows the portfolio's annualized and year-to-date returns, as well as risk metrics including annualized volatility, beta, correlation, and maximum drawdown compared to the IAMC Bond Index. For more information, check PRACK Asset Management's LinkedIn profile.
Argie bond quant portfolio track record
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The document provides performance metrics for the ABQ Portfolio from inception in December 2011 through July 2013. It shows the portfolio has achieved annualized returns of 72.05% and outperforms the IAMC Bond Index with an annualized alpha of 3.73%. Risk metrics include an annualized volatility of 12.58% and a maximum drawdown of -7.19%. More information on the portfolio can be found on the LinkedIn profile for PRACK Asset Management.
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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. 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.
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. 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 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
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. 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. 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 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
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
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
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
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 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
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
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
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 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 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 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.
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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 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.
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
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 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 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 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 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
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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
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.
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Stat Arb Performance
- 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