Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | 360.3% | 144.6% | 15.2% | 3.9% |
Rel. Return | 215.7% | N/A | 11.3% | N/A |
Beta | 0.54 | N/A | 0.27 | N/A |
Std. Dev | 1.1% | 1.2% | 1.0% | 0.9% |
Sharpe | 0.79 | 0.46 | 1.14 | 0.40 |
Draw Down | -32.2% | -55.3% | -11.6% | -10.3% |
IR | 0.28 | N/A | 0.68 | N/A |
R² | 0.37 | N/A | 0.06 | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 20.0% | 6.0% | 9.8% | 11.4% | 9.4% |
Ann. Volatility | 16.2% | 17.5% | 16.3% | 14.8% | 17.6% |
Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 2.5% | 5.6% | 2.5% | 7.6% | -2.7% | 2.7% | 8.8% | -1.0% | -6.2% | 0.6% | 0.6% | -3.0% | N/A |
Benchmark | -1.6% | -5.0% | -0.1% | 6.8% | 0.4% | 1.8% | 0.3% | 3.7% | 0.1% | 0.0% | -1.8% | -1.9% | N/A |
Rel. Return | 4.1% | 10.6% | 2.6% | 0.8% | -3.1% | 0.9% | 8.5% | -4.7% | -6.4% | 0.5% | 2.4% | -1.1% | 0.0% |