Strategy Overall | Bench Overall | Strategy TTM | Bench TTM | |
Abs. Return | 193.7% | 60.8% | 28.2% | 12.5% |
Rel. Return | 132.9% | N/A | 15.6% | N/A |
Beta | 0.36 | N/A | 0.31 | N/A |
Ann. Volatility | 10.0% | 18.0% | 9.8% | 19.6% |
Sharpe | 1.58 | 0.47 | 2.58 | 0.70 |
Drawdown | -12.3% | -26.9% | -7.0% | -17.5% |
IR | 0.54 | N/A | 0.74 | N/A |
Tracking Error | 13.9% | N/A | 15.6% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 28.2% | 15.1% | 18.4% | 14.7% | N/A |
Ann. Volatility | 9.8% | 11.8% | 10.9% | 10.3% | N/A |
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 3.4% | 1.8% | 4.1% | 2.6% | -1.9% | 4.8% | -0.8% | 3.9% | 3.2% | 0.6% | 2.1% | 1.8% | 28.2% |
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 | -4.3% | -2.1% | 5.7% | 1.1% | 10.5% | -1.5% | -1.3% | 10.5% | -4.0% | -1.1% | -1.5% | -1.6% | 15.6% |