+20.1%
COP vs RMBS
-32.4%
+52.5%
-17.5%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 6mo.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | +1.7% | +5.7% | -4.0% | +2.1% |
| 7D | +0.7% | +3.0% | -2.3% | +1.0% |
| 30D | +0.2% | -15.5% | +15.7% | -1.1% |
| 3M | +10.2% | -11.5% | +21.7% | +9.3% |
| 6M | +20.1% | -36.5% | +56.6% | +16.7% |
| All | +20.1% | -32.4% | +52.5% | +16.7% |
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 6mo: 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…
6mo analysis · Full analysis span regression · 6 months rolling