Strategy Overall | Bench Overall | Strategy TTM | Bench TTM | |
Abs. Return | 169.7% | 148.1% | -6.3% | 2.2% |
Rel. Return | 21.6% | N/A | -8.5% | N/A |
Beta | -0.16 | N/A | -0.14 | N/A |
Ann. Volatility | 12.7% | 15.0% | 11.0% | 16.2% |
Sharpe | 0.92 | 0.74 | -0.53 | 0.22 |
Drawdown | -14.5% | -19.8% | -14.4% | -19.8% |
IR | 0.03 | N/A | -0.44 | N/A |
Tracking Error | 21.3% | N/A | 21.3% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | -6.3% | 1.7% | 3.5% | 9.0% | N/A |
Ann. Volatility | 11.0% | 11.5% | 14.0% | 13.0% | N/A |
Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 3.2% | -0.6% | -0.1% | -2.1% | -0.1% | 0.3% | -1.9% | -4.0% | 1.4% | -4.7% | 1.7% | 3.5% | -6.3% |
Benchmark | 0.3% | 2.2% | 0.5% | 3.6% | 3.0% | 0.4% | -6.9% | 1.8% | -9.2% | 7.9% | 3.0% | 0.9% | 2.2% |
Rel. Return | 2.9% | -2.8% | -0.6% | -5.7% | -3.1% | -0.2% | 5.1% | -5.8% | 10.6% | -12.5% | -1.3% | 2.6% | -8.5% |