+77.5%
CME vs RMBS
+266.6%
-189.1%
-31.7%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 5y.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | -1.1% | +1.7% | -2.8% | -1.0% |
| 7D | -2.9% | +3.0% | -5.8% | -2.8% |
| 30D | +5.5% | -14.4% | +19.9% | +5.1% |
| 3M | +11.0% | -42.8% | +53.8% | +9.8% |
| 6M | -9.7% | -1.4% | -8.3% | -9.9% |
| YTD | +4.9% | -5.4% | +10.3% | +4.6% |
| 1Y | +10.1% | +18.6% | -8.5% | +9.8% |
| 3Y | +53.5% | +57.3% | -3.8% | +50.6% |
| All | +77.5% | +266.6% | -189.1% | +49.0% |
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 5y: 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…
5y analysis · Full analysis span regression · 6 months rolling