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Program Performance....
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The investment returns from the
volatility arbitrage strategies are shown below: |
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Strategy Performance
Oct 2002-Dec2005
Strategy
|
G000
|
F1000
|
|
Annual Return |
16.38% |
207.34% |
|
Downside Risk |
4.14% |
34.15% |
|
Volatility |
6.83% |
57.66% |
|
Beta |
-0.02 |
0.01 |
|
Sharpe |
2.24 |
3.58 |
|
Alpha |
15.66% |
257.54% |
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1998 - 2006 |
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