Strategy Overall | Bench Overall | Strategy TTM | Bench TTM | |
Abs. Return | 142.8% | -66.8% | 23.5% | 0.9% |
Rel. Return | 209.6% | N/A | 22.7% | N/A |
Beta | 0.98 | N/A | 0.72 | N/A |
Ann. Volatility | 27.7% | 12.8% | 18.9% | 7.5% |
Sharpe | 0.49 | -0.89 | 1.21 | 0.15 |
Drawdown | -44.1% | -68.7% | -12.4% | -5.5% |
IR | 1.13 | N/A | 1.35 | N/A |
Tracking Error | 23.7% | N/A | 17.3% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 23.5% | 10.0% | -6.0% | 13.3% | N/A |
Ann. Volatility | 19.0% | 17.7% | 33.3% | 30.5% | N/A |
Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 2.9% | 1.4% | 1.4% | -3.1% | 2.0% | 4.7% | -1.4% | -3.5% | 12.7% | 2.1% | 11.4% | -7.6% | 23.5% |
Benchmark | 0.3% | 3.9% | 0.3% | -2.1% | 0.1% | -2.1% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.9% |
Rel. Return | 2.6% | -2.6% | 1.0% | -1.0% | 1.8% | 6.8% | -1.4% | -3.5% | 12.7% | 2.1% | 11.4% | -7.6% | 22.7% |