Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | -2.8% | -2.5% | 5.9% | 8.9% |
Rel. Return | -0.3% | N/A | -2.9% | N/A |
Beta | 0.73 | N/A | 0.33 | N/A |
Ann. Volatility | 19.7% | 24.1% | 9.0% | 16.4% |
Sharpe | -0.30 | 0.40 | 3.38 | 5.29 |
Drawdown | -17.3% | -16.9% | -3.0% | -2.5% |
IR | -1.62 | N/A | -4.21 | N/A |
Tracking Error | 9.7% | N/A | 13.5% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | -3.7% | N/A | N/A | N/A | N/A |
Ann. Volatility | 19.7% | N/A | N/A | N/A | N/A |
Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 0.0% | 0.0% | -4.2% | -2.0% | 3.7% | -5.2% | -7.2% | 7.7% | 5.1% | -5.4% | 3.3% | 2.5% | -2.8% |
Benchmark | 0.0% | 0.0% | 0.0% | -8.4% | 9.1% | -4.2% | -9.3% | 8.0% | 5.4% | -5.9% | 6.2% | 2.5% | 1.2% |
Rel. Return | 0.0% | 0.0% | -4.2% | 6.4% | -5.5% | -1.0% | 2.2% | -0.2% | -0.2% | 0.5% | -2.8% | -0.0% | -4.0% |