+43.1%
COF vs RMBS
+265.4%
-222.3%
-49.1%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 5y.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | +0.6% | +1.9% | -1.3% | +0.2% |
| 7D | -5.1% | +1.8% | -6.9% | -5.5% |
| 30D | -6.0% | -13.9% | +7.9% | -3.2% |
| 3M | +14.8% | -39.8% | +54.6% | +26.2% |
| 6M | +15.3% | -6.0% | +21.3% | +9.0% |
| YTD | -13.0% | -5.4% | -7.7% | -19.0% |
| 1Y | -5.7% | -1.8% | -3.9% | -15.0% |
| 3Y | +118.1% | +53.7% | +64.5% | +57.4% |
| All | +43.1% | +265.4% | -222.3% | -30.7% |
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