Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | 162.5% | 7.0% | 2.5% | 7.8% |
Rel. Return | 155.5% | N/A | -5.3% | N/A |
Beta | 0.00 | N/A | 0.22 | N/A |
Ann. Volatility | 14.2% | 13.8% | 4.3% | 11.5% |
Sharpe | 0.04 | 0.13 | 6.59 | 3.45 |
Drawdown | -27.5% | -30.2% | -0.5% | -1.3% |
IR | -0.12 | N/A | -1.17 | N/A |
Tracking Error | 10.6% | N/A | 9.5% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 120.9% | 51.4% | 36.9% | 36.1% | N/A |
Ann. Volatility | 15.3% | 13.1% | 14.4% | 14.2% | N/A |
Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 1.1% | -8.9% | -1.0% | -5.0% | 6.0% | -3.7% | -8.4% | 2.9% | 167.3% | -1.8% | 1.9% | 0.6% | 124.0% |
Benchmark | -1.3% | -8.4% | -1.8% | -6.9% | 6.3% | -4.9% | -11.0% | 1.6% | 8.8% | -2.4% | 6.8% | 1.0% | -13.4% |
Rel. Return | 2.4% | -0.5% | 0.8% | 1.9% | -0.4% | 1.2% | 2.6% | 1.2% | 158.5% | 0.6% | -4.9% | -0.4% | 137.4% |