Strategy Overall | Bench Overall | Strategy TTM | Bench TTM | |
Abs. Return | 129.8% | 39.6% | 4.1% | -1.2% |
Rel. Return | 90.2% | N/A | 5.3% | N/A |
Beta | 0.19 | N/A | 0.05 | N/A |
Ann. Volatility | 10.1% | 4.9% | 5.4% | 5.0% |
Sharpe | 0.62 | 0.50 | 0.77 | -0.22 |
Drawdown | -37.5% | -21.1% | -3.5% | -3.2% |
IR | 0.35 | N/A | 0.73 | N/A |
Tracking Error | 10.8% | N/A | 7.2% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 4.1% | 5.4% | 7.6% | 7.6% | 5.2% |
Ann. Volatility | 5.4% | 5.7% | 6.2% | 6.2% | 8.8% |
Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 0.4% | -0.3% | 0.8% | 1.1% | -2.6% | 2.9% | 0.2% | -0.3% | -0.6% | 0.5% | -0.9% | 0.9% | 4.1% |
Benchmark | -1.4% | 0.2% | 0.7% | -1.0% | 0.2% | 1.6% | 0.3% | -0.3% | -1.2% | 2.1% | -1.7% | -0.3% | -1.2% |
Rel. Return | 1.8% | -0.5% | 0.1% | 2.1% | -2.8% | 1.3% | -0.0% | -0.1% | 0.6% | -1.6% | 0.8% | 1.2% | 5.3% |