-39.0%
RMBS vs GAP
+0.1%
-39.1%
-59.2%
Performance
Returns, benchmark comparison, and relative performance.
Performance by timeframe
Returns for 6mo.
| Period | Portfolio | GAP | Excess | Alpha |
|---|---|---|---|---|
| 1D | -3.2% | -0.8% | -2.4% | -3.2% |
| 7D | +10.3% | -1.9% | +12.2% | +10.4% |
| 30D | -10.7% | -7.1% | -3.7% | -9.9% |
| 3M | -17.2% | +4.1% | -21.3% | -16.3% |
| 6M | -39.0% | +1.9% | -40.9% | -37.5% |
| All | -39.0% | +0.1% | -39.1% | -37.5% |
Cumulative growth
Daily Returns
Daily percentage return beside GAP.
Daily Out/Under-Performance
Portfolio return minus GAP return. Positive bars indicate outperformance.
Daily Alpha
Portfolio daily return minus β × GAP 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 GAP 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