+2,316.3%
ICE vs RMBS
+501.0%
+1,815.3%
-73.9%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for all.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | -2.0% | +1.3% | -3.4% | -2.3% |
| 7D | -0.7% | -0.3% | -0.3% | -0.6% |
| 30D | +7.6% | -12.2% | +19.8% | +9.9% |
| 3M | +13.9% | -49.5% | +63.5% | +27.0% |
| 6M | -2.4% | -7.1% | +4.8% | -6.0% |
| YTD | +0.3% | -7.0% | +7.3% | -4.5% |
| 1Y | -6.4% | +13.3% | -19.8% | -16.0% |
| 3Y | +43.1% | +49.2% | -6.1% | +12.6% |
| 5Y | +42.1% | +250.0% | -207.8% | -10.7% |
| 10Y | +220.9% | +495.1% | -274.2% | +70.9% |
| All | +2,316.3% | +501.0% | +1,815.3% | +673.9% |
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