1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -1,14% -9,43%
Annualized since inception -2,08% -17,20%
Month to date 2,34% 6,14%
Week to date 0,34% -1,94%
Today 10-17-2011 0,34% -1,94%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -0 bp 0 bp
Annualized Alpha -0,29% 0,00%
Risk
Annualized volatility 8,42% 25,56%
Beta against S&P 500 0,10 1,00
Correlation against S&P 500 0,30 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
Visit PRACK Asset Management company profile on LinkedIn to learn more