Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | 30.1% | -1.9% | 31.9% | -1.1% |
Rel. Return | 32.1% | N/A | 33.0% | N/A |
Beta | 0.00 | N/A | 0.55 | N/A |
Ann. Volatility | 13.7% | 13.5% | 9.1% | 12.4% |
Sharpe | 0.23 | 0.09 | 1.29 | 0.23 |
Drawdown | -27.5% | -30.5% | -8.3% | -15.4% |
IR | 0.20 | N/A | 1.08 | N/A |
Tracking Error | 9.9% | N/A | 8.3% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 29.7% | 1.0% | 5.0% | 6.9% | N/A |
Ann. Volatility | 9.9% | 13.7% | 12.5% | 13.7% | N/A |
Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | -4.1% | 4.9% | -2.9% | 24.5% | 1.1% | -0.3% | 3.0% | 1.1% | -1.4% | -4.2% | -1.6% | 6.6% | 26.5% |
Benchmark | -2.4% | 6.8% | -4.9% | 3.9% | 0.4% | -3.4% | 2.4% | 1.0% | -3.5% | -6.5% | -3.7% | 7.7% | -3.5% |
Rel. Return | -1.7% | -1.8% | 2.0% | 20.6% | 0.7% | 3.1% | 0.6% | 0.1% | 2.1% | 2.3% | 2.1% | -1.1% | 30.0% |