AUDITED QUANTITATIVE PERFORMANCE LEDGER
RETURNS MATRIX & RISK HEATMAP
Comprehensive 2020–2024 performance analytics for the ARCUS Flagship Quantitative Strategy. Net of all fees, audited by KPMG LLP.
CUMULATIVE YIELD & PERFORMANCE
Net cumulative return vs S&P 500 & Hedge Fund Weighted Index.
ARCUS ALPHAS&P 500 IndexHedge Fund Composite
$100,000 Initial Capital Growth: $100,000
MONTHLY RETURNS HEATMAP (2020–2024)
Historical net return matrix queried from ARCUS ledger database.
100% POSITIVE MONTHS RATE
| YEAR | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ANNUAL TOTAL |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | +2.1% | +3.4% | +4.8% | +2.2% | +1.9% | +2.5% | +1.8% | +2.9% | +1.4% | +2.7% | +3.1% | +2.0% | +35.5% |
| 2021 | +2.8% | +1.9% | +2.4% | +3.0% | +2.1% | +1.7% | +2.9% | +2.3% | +1.8% | +3.2% | +2.5% | +2.2% | +32.9% |
| 2022 | +3.6% | +4.1% | +3.9% | +2.8% | +3.2% | +2.4% | +1.9% | +2.7% | +3.5% | +2.1% | +1.8% | +2.6% | +40.5% |
| 2023 | +2.4% | +1.8% | +2.9% | +2.1% | +2.5% | +3.1% | +2.0% | +1.6% | +2.8% | +2.4% | +3.0% | +2.7% | +33.6% |
| 2024 | +2.9% | +2.2% | +3.5% | +1.9% | +2.7% | +2.4% | +3.1% | +2.6% | +2.1% | +2.8% | +3.3% | +2.5% | +36.8% |
COLOR LEGEND:<1.5%1.5%-2.4%2.5%-3.4%≥3.5%
AVG MONTHLY RETURN: +2.55%BEST MONTH: +4.8% (Mar 20)MAX MONTHLY DRAWDOWN: 0.0%
RISK METRICS & CONVEXITY PROFILE
Comparative institutional risk-adjusted ratios (2020–2024 Audited).
BENCHMARK COMPARISON MATRIX
| QUANTITATIVE METRIC | ARCUS ALPHA | S&P 500 INDEX | HEDGE FUND COMPOSITE | ARCUS ADVANTAGE |
|---|---|---|---|---|
| Compounded Annual Growth Rate (CAGR) | 31.4% | 14.2% | 8.9% | +17.2% Alpha |
| Sharpe Ratio (Rf = 4.5%) | 2.84 | 0.92 | 0.74 | 3.0x Risk-Adjusted |
| Sortino Ratio (Downside Risk) | 4.12 | 1.15 | 0.91 | 3.5x Protection |
| Maximum Drawdown (Peak-to-Trough) | -3.8% | -24.5% | -16.2% | 84.5% Risk Reduction |
| Annualized Volatility (Std Dev) | 7.2% | 17.4% | 12.1% | Low Volatility Profile |
| Calmar Ratio (CAGR / Max DD) | 8.26 | 0.58 | 0.55 | 14.2x Calmar Score |
| Market Beta (S&P 500 Correlation) | 0.08 | 1.00 | 0.68 | Market Neutral |
| Annualized Alpha (Jensen's α) | +24.6% | 0.0% | +1.8% | Uncorrelated Return |
Click any row to inspect deep statistical methodology and calculation model.
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