+213.7%
ICE vs RMBS
+566.4%
-352.8%
-34.3%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 10y.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | +1.0% | +1.9% | -0.9% | +0.8% |
| 7D | -2.4% | +1.8% | -4.2% | -2.6% |
| 30D | +4.0% | -13.9% | +17.9% | +5.8% |
| 3M | +13.7% | -39.8% | +53.5% | +20.1% |
| 6M | +0.9% | -6.0% | +6.9% | -2.6% |
| YTD | -2.1% | -5.4% | +3.2% | -6.4% |
| 1Y | -9.5% | -1.8% | -7.7% | -15.3% |
| 3Y | +42.1% | +53.7% | -11.6% | +13.9% |
| 5Y | +41.4% | +268.5% | -227.1% | -15.3% |
| All | +213.7% | +566.4% | -352.8% | +45.5% |
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 10y: 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…
10y analysis · Full analysis span regression · 6 months rolling