Slides from PreSeed Academy #20 - Morten Poulsen (Speaker 2 of 3)
Stat Arb Performance
1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -2,87% -8,33%
Annualized since inception -5,16% -14,98%
Month to date 0,55% 7,42%
Week to date -1,42% -0,75%
Today 10-20-2011 0,51% 0,46%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -1 bp 0 bp
Annualized Alpha -3,73% 0,00%
Risk
Annualized volatility 8,69% 25,50%
Beta against S&P 500 0,09 1,00
Correlation against S&P 500 0,26 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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