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.).
- Annualized Standard Deviation Monthly Quarterly Return definition
- Barclay CTA Index definition
- Sector Energy definition
- Fixed Income Mortgage Backed definition
- Sterling Ratio definition