This tabular analysis summarizes the best, worst and average performance for the trading program during time windows of varying lengths. For example, three-month time windows measure performance in all rolling three-month time periods (e.g., months one through three, two through four, etc.).
- Worst Drawdown definition
- Relative Value Arbitrage definition
- High Water Mark definition
- Merger Arbitrage definition
- Barclay CTA Index definition