+2,583.6%
ICE vs RMBS
+478.3%
+2,105.3%
-73.9%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for all.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | +0.4% | -3.2% | +3.6% | +0.9% |
| 7D | +3.6% | +10.3% | -6.7% | +1.7% |
| 30D | +15.1% | -10.7% | +25.8% | +16.4% |
| 3M | +15.4% | -17.2% | +32.6% | +17.5% |
| 6M | +16.1% | -39.0% | +55.2% | +22.1% |
| YTD | +11.4% | -10.5% | +21.9% | +5.3% |
| 1Y | +18.5% | -11.0% | +29.4% | +11.7% |
| 3Y | +70.5% | +31.3% | +39.2% | +36.6% |
| 5Y | +40.9% | +242.8% | -201.8% | -12.4% |
| 10Y | +260.6% | +536.9% | -276.4% | +86.5% |
| All | +2,583.6% | +478.3% | +2,105.3% | +752.9% |
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