Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | -72.5% | -51.2% | -49.3% | -11.4% |
Rel. Return | -21.3% | N/A | -37.9% | N/A |
Beta | 0.47 | N/A | 0.77 | N/A |
Ann. Volatility | 20.3% | 21.5% | 19.4% | 13.3% |
Sharpe | -0.42 | -0.58 | 0.66 | -0.93 |
Drawdown | -80.3% | -58.4% | -57.3% | -14.6% |
IR | 0.19 | N/A | 1.50 | N/A |
Tracking Error | 20.9% | N/A | 16.8% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | -49.8% | -27.3% | -23.5% | -23.5% | N/A |
Ann. Volatility | 18.7% | 19.6% | 18.7% | 20.4% | N/A |
Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 0.7% | -55.8% | 6.3% | -1.8% | -1.2% | 8.6% | -1.5% | -3.6% | 8.5% | 2.6% | 1.0% | -4.1% | -48.9% |
Benchmark | 6.5% | -5.6% | 3.0% | -3.0% | -1.1% | 0.2% | -5.4% | -2.5% | 2.4% | 5.6% | 2.8% | -7.5% | -5.6% |
Rel. Return | -5.8% | -50.2% | 3.2% | 1.2% | -0.0% | 8.4% | 3.9% | -1.0% | 6.1% | -3.0% | -1.8% | 3.5% | -43.3% |