-42.7%
RMBS vs CP
+9.7%
-52.4%
-59.2%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 6mo.
| Period | Portfolio | CP | Excess | Alpha |
|---|---|---|---|---|
| 1D | +7.0% | -1.7% | +8.7% | +6.5% |
| 7D | -12.0% | +2.8% | -14.7% | -11.3% |
| 30D | -33.1% | +10.2% | -43.4% | -32.5% |
| 3M | -23.7% | +2.4% | -26.0% | -22.4% |
| 6M | -42.7% | +7.7% | -50.4% | -43.1% |
| All | -42.7% | +9.7% | -52.4% | -43.1% |
Cumulative growth
Daily Returns
Daily percentage return beside CP.
Daily Out/Under-Performance
Portfolio return minus CP return. Positive bars indicate outperformance.
Daily Alpha
Portfolio daily return minus β × CP 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 6mo: compounded portfolio wealth divided by compounded CP 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…
6mo analysis · Full analysis span regression · 6 months rolling