1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-30-2012 -2,65% -0,44%
Month to date -0,36% 0,31%
Week to date -1,12% -0,07%
Today 05-02-2012 -0,53% -0,25%
Best day 0,64% 1,55%
Worst day -0,85% -1,71%
Risk
Annualized volatility 6,48% 13,81%
Beta against S&P 500 0,33 1,00
Correlation against S&P 500 0,71 1,00
Maximum drawdown -2,94% -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