+269.1%
CME vs PENG
+520.3%
-251.2%
-37.4%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for all.
| Period | Portfolio | PENG | Excess | Alpha |
|---|---|---|---|---|
| 1D | -0.3% | -23.0% | +22.7% | +0.7% |
| 7D | +3.7% | -36.7% | +40.3% | +5.6% |
| 30D | +13.7% | -42.0% | +55.8% | +16.0% |
| 3M | +16.6% | -33.2% | +49.8% | +17.7% |
| 6M | +8.2% | +2.1% | +6.1% | +4.4% |
| YTD | +16.3% | +90.3% | -73.9% | +6.8% |
| 1Y | +19.1% | +67.7% | -48.6% | +10.1% |
| 3Y | +67.4% | +154.2% | -86.9% | +42.9% |
| 5Y | +71.0% | +28.3% | +42.7% | +50.8% |
| All | +269.1% | +520.3% | -251.2% | +174.7% |
Cumulative growth
Daily Returns
Daily percentage return beside PENG.
Daily Out/Under-Performance
Portfolio return minus PENG return. Positive bars indicate outperformance.
Daily Alpha
Portfolio daily return minus β × PENG 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 all: compounded portfolio wealth divided by compounded PENG 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…
all analysis · Full analysis span regression · 6 months rolling