+6,781.2%
CME vs RMBS
+1,036.4%
+5,744.8%
-77.5%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for all.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | -0.3% | +1.3% | -1.6% | -0.4% |
| 7D | -1.6% | -0.3% | -1.2% | -1.5% |
| 30D | +6.2% | -12.2% | +18.4% | +7.7% |
| 3M | +10.4% | -49.5% | +60.0% | +18.6% |
| 6M | -9.5% | -7.1% | -2.4% | -11.7% |
| YTD | +6.0% | -7.0% | +13.0% | +2.5% |
| 1Y | +9.3% | +13.3% | -4.1% | +1.5% |
| 3Y | +57.7% | +49.2% | +8.4% | +33.0% |
| 5Y | +77.7% | +250.0% | -172.3% | +27.7% |
| 10Y | +281.2% | +495.1% | -213.9% | +144.8% |
| All | +6,781.2% | +1,036.4% | +5,744.8% | +3,319.8% |
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 all: 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…
all analysis · Full analysis span regression · 6 months rolling