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