+303.4%
CME vs RMBS
+534.0%
-230.6%
-37.4%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 10y.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | +0.8% | -3.2% | +4.0% | +0.9% |
| 7D | +3.9% | +10.3% | -6.4% | +3.4% |
| 30D | +11.3% | -10.7% | +22.1% | +11.7% |
| 3M | +19.6% | -17.2% | +36.8% | +20.2% |
| 6M | +8.1% | -39.0% | +47.1% | +9.9% |
| YTD | +20.4% | -10.5% | +30.9% | +16.9% |
| 1Y | +16.5% | -11.0% | +27.5% | +12.9% |
| 3Y | +66.4% | +31.3% | +35.1% | +46.4% |
| 5Y | +74.5% | +242.8% | -168.3% | +13.7% |
| All | +303.4% | +534.0% | -230.6% | +100.5% |
Cumulative growth
Daily Returns
Daily percentage return beside RMBS.
Daily Out/Under-Performance
Portfolio return minus RMBS return. Positive bars indicate outperformance.
Daily Alpha
Portfolio daily return minus β × RMBS 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 10y: compounded portfolio wealth divided by compounded RMBS 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…
10y analysis · Full analysis span regression · 6 months rolling