-5.8%
LVS vs RMBS
+56.5%
-62.4%
-44.0%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 3y.
| Period | Portfolio | RMBS | Excess | Alpha |
|---|---|---|---|---|
| 1D | -1.5% | +0.9% | -2.4% | -1.6% |
| 7D | -2.7% | +3.5% | -6.2% | -3.1% |
| 30D | -4.7% | -8.6% | +3.9% | -3.8% |
| 3M | -15.6% | -40.3% | +24.7% | -10.9% |
| 6M | -18.6% | -1.0% | -17.7% | -22.1% |
| YTD | -32.3% | -4.6% | -27.6% | -35.5% |
| 1Y | -18.0% | +17.6% | -35.6% | -25.2% |
| All | -5.8% | +56.5% | -62.4% | -21.5% |
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 3y: 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…
3y analysis · Full analysis span regression · 6 months rolling