Stat Arb Performance
- 1. Statistical Arbitrage track record - daily updated StatArb1/ S&P 500 Return Since inception 03-31-2011 -4,78% -8,30% Annualized since inception -6,74% -11,70% Month to date -0,37% -2,50% Week to date -0,28% -3,14% Today 12-15-2011 -0,15% 0,32% Best day 1,42% 4,74% Worst day -1,83% -6,66% Daily Alpha against S&P 500 -2 bp 0 bp Annualized Alpha -6,27% 0,00% Risk Annualized volatility 8,40% 25,97% Beta against S&P 500 0,03 1,00 Correlation against S&P 500 0,08 1,00 Maximum drawdown -9,39% -19,39% 1/ Subject to minor changes. Visit PRACK Asset Management company profile on LinkedIn to learn more
- 2. Statistical Arbitrage track record - daily updated Daily Performance Inception date=1 1,05 StatArb 1,00 0,95 0,90 S&P 500 0,85 0,80 10-May 30-May 16-Dec 19-Jun 6-Nov 31-Mar 7-Sep 20-Apr 18-Aug 26-Nov 9-Jul 29-Jul 27-Sep 17-Oct
- 3. Statistical Arbitrage track record - daily updated S&P 500 StatArb Best 3 market days1/ 08-09-2011 4,74% -0,28% 08-11-2011 4,63% -0,49% 11-30-2011 4,33% -0,44% Worst 3 market days1/ 08-08-2011 -6,66% 0,39% 08-04-2011 -4,78% 0,74% 08-18-2011 -4,46% -1,35% 1/ since inception date 03-31-2011