Strategy Overall | Bench Overall | Strategy TTM | Bench TTM | |
Abs. Return | 81.1% | 60.8% | 13.2% | 12.5% |
Rel. Return | 20.2% | N/A | 0.7% | N/A |
Beta | 0.32 | N/A | 0.11 | N/A |
Ann. Volatility | 10.2% | 18.0% | 6.3% | 19.6% |
Sharpe | 0.89 | 0.47 | 2.00 | 0.70 |
Drawdown | -12.1% | -26.9% | -3.8% | -17.5% |
IR | 0.04 | N/A | -0.06 | N/A |
Tracking Error | 14.9% | N/A | 18.5% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 13.2% | 3.4% | 11.5% | 8.0% | N/A |
Ann. Volatility | 6.3% | 12.0% | 12.2% | 10.9% | N/A |
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 2.2% | 4.5% | 5.2% | 1.0% | -1.8% | -0.1% | 0.0% | 0.0% | 0.0% | -0.5% | 0.8% | 1.3% | 13.2% |
Benchmark | 7.7% | 3.9% | -1.6% | 1.5% | -12.3% | 6.3% | 0.5% | -6.6% | 7.1% | 1.7% | 3.5% | 3.5% | 12.5% |
Rel. Return | -5.5% | 0.6% | 6.8% | -0.5% | 10.6% | -6.4% | -0.5% | 6.6% | -7.1% | -2.2% | -2.7% | -2.1% | 0.7% |