+71.0%
CME vs MTSI
+153.3%
-82.4%
-31.7%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 5y.
| Period | Portfolio | MTSI | Excess | Alpha |
|---|---|---|---|---|
| 1D | -0.3% | -18.4% | +18.0% | -0.9% |
| 7D | +3.7% | -24.6% | +28.2% | +2.9% |
| 30D | +13.7% | -45.7% | +59.4% | +12.2% |
| 3M | +16.6% | -27.7% | +44.3% | +15.8% |
| 6M | +8.2% | -37.3% | +45.5% | +7.1% |
| YTD | +16.3% | +11.1% | +5.2% | +14.6% |
| 1Y | +19.1% | +27.2% | -8.1% | +17.2% |
| 3Y | +67.4% | +153.7% | -86.3% | +56.4% |
| 5Y | +71.0% | +159.0% | -88.0% | +56.6% |
| All | +71.0% | +153.3% | -82.4% | +56.6% |
Cumulative growth
Daily Returns
Daily percentage return beside MTSI.
Daily Out/Under-Performance
Portfolio return minus MTSI return. Positive bars indicate outperformance.
Daily Alpha
Portfolio daily return minus β × MTSI return. Early observations use the first valid beta; later observations use the trailing beta estimated for each date.
Cumulative Out/Under-Performance
Relative wealth over 5y: compounded portfolio wealth divided by compounded MTSI wealth, less one. Both series rebase at the selected span's start.
Cumulative Alpha
Compounded beta-adjusted residual returns apply the first valid beta to early observations, then the trailing beta ending on each date.
Updating return analytics…
5y analysis · Full analysis span regression · 6 months rolling