Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | 0.4% | 6.1% | 9.5% | 18.5% |
Rel. Return | -5.7% | N/A | -9.0% | N/A |
Beta | 0.81 | N/A | 0.94 | N/A |
Ann. Volatility | 16.8% | 19.3% | 13.2% | 13.4% |
Sharpe | 0.12 | 0.41 | 0.86 | 1.47 |
Drawdown | -17.3% | -16.9% | -13.0% | -10.3% |
IR | -0.96 | N/A | -2.24 | N/A |
Tracking Error | 6.3% | N/A | 3.8% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 6.5% | 0.3% | N/A | N/A | N/A |
Ann. Volatility | 14.0% | 16.8% | N/A | N/A | N/A |
Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | -5.4% | 3.4% | -3.5% | 2.1% | 1.1% | 0.0% | 6.2% | 3.6% | -2.7% | -5.6% | -3.3% | 8.7% | 3.5% |
Benchmark | -5.9% | 6.2% | -2.6% | 3.5% | 1.5% | 0.2% | 6.5% | 3.1% | -1.8% | -4.9% | -2.2% | 8.5% | 11.5% |
Rel. Return | 0.5% | -2.7% | -0.9% | -1.4% | -0.3% | -0.2% | -0.3% | 0.5% | -1.0% | -0.7% | -1.1% | 0.2% | -8.0% |