+48.1%
CTA vs SPY
+94.0%
-45.9%
-20.8%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 5y.
| Period | Portfolio | SPY | Excess | Alpha |
|---|---|---|---|---|
| 1D | +1.8% | -0.5% | +2.4% | +1.7% |
| 7D | -0.4% | +0.5% | -1.0% | -0.3% |
| 30D | +12.5% | -0.9% | +13.4% | +12.3% |
| 3M | +0.7% | +3.9% | -3.2% | +1.3% |
| 6M | -1.3% | +14.5% | -15.8% | +0.6% |
| YTD | +10.4% | +12.9% | -2.5% | +12.3% |
| 1Y | +11.7% | +19.4% | -7.6% | +14.3% |
| 3Y | +34.8% | +78.5% | -43.7% | +46.8% |
| All | +48.1% | +94.0% | -45.9% | +64.0% |
Cumulative growth
Daily Returns
Daily percentage return beside SPY.
Daily Out/Under-Performance
Portfolio return minus SPY return. Positive bars indicate outperformance.
Daily Alpha
Portfolio daily return minus β × SPY 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 SPY 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