← ABEL CAPITAL · DATA ROOM

Cross Arb

Cross-exchange arbitrage exploiting transient price dislocations.

Strategy Performance Report · 23 Oct 2025 – 31 May 2026

10.4%
Cumulative Return
17.9%
CAGR
3.8%
Annualized Vol
4.34
Sharpe Ratio
27.84
Sortino Ratio
69.86
Calmar Ratio
-0.3%
Max Drawdown
74.2%
Win Rate

Cumulative Return

-0%2%5%8%11%20252026

Drawdown (underwater)

-0%-0%0%20252026

Monthly Returns (%)

JanFebMarAprMayJunJulAugSepOctNovDecYear
2025+0.4+0.7+0.7+1.8
2026+1.0+2.3+1.3+2.8+0.8+8.5

Risk Metrics

Daily VaR (95%)-0.08%
Daily VaR (99%)-0.14%
Daily CVaR (95%)-0.11%
Daily CVaR (99%)-0.15%
Omega Ratio (0)4.75
Gain / Pain Ratio3.75
Avg Winning Day0.08%
Avg Losing Day-0.05%

Period & Extremes

Best Day+2.72%
Worst Day-0.16%
Best Month+2.8%
Worst Month+0.4%
Month-to-Date+0.83%
Quarter-to-Date+3.6%
Year-to-Date+8.5%
Observations221 days

Rolling Risk-Adjusted Return

Rolling Sharpe LatestMeanMedian
30-day6.897.988.15
90-day3.666.978.08
365-day–––

Worst Drawdowns

DepthStartedValleyRecoveredDays
-0.26%20 May 202624 May 202625 May 20265
-0.21%20 Apr 202624 Apr 202610 May 202620
-0.19%19 Dec 202521 Dec 202525 Dec 20256
-0.16%01 Mar 202602 Mar 202605 Mar 20264
-0.13%11 Dec 202512 Dec 202517 Dec 20256
-0.13%21 Mar 202622 Mar 202623 Mar 20262
-0.13%31 Mar 202603 Apr 202613 Apr 202613
-0.10%23 Jan 202626 Jan 202627 Jan 20264
-0.08%15 Jan 202617 Jan 202618 Jan 20263
-0.08%28 May 202629 May 202631 May 20263

Daily Returns Heatmap

2025
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct2025-10-23: -0.01%2025-10-24: +0.05%2025-10-25: +0.02%2025-10-26: +0.00%2025-10-27: +0.12%2025-10-28: -0.05%2025-10-29: +0.11%2025-10-30: +0.05%2025-10-31: +0.10%
Nov2025-11-01: +0.02%2025-11-02: +0.05%2025-11-03: +0.04%2025-11-04: -0.05%2025-11-05: +0.01%2025-11-06: +0.01%2025-11-07: -0.02%2025-11-08: +0.06%2025-11-09: -0.06%2025-11-10: +0.11%2025-11-11: +0.05%2025-11-12: +0.03%2025-11-13: +0.07%2025-11-14: +0.04%2025-11-15: -0.04%2025-11-16: +0.10%2025-11-17: +0.03%2025-11-18: +0.06%2025-11-19: +0.01%2025-11-20: -0.04%2025-11-21: +0.05%2025-11-22: +0.04%2025-11-23: +0.01%2025-11-24: +0.04%2025-11-25: +0.01%2025-11-26: +0.01%2025-11-27: +0.09%2025-11-28: +0.04%2025-11-29: +0.04%2025-11-30: -0.05%
Dec2025-12-01: +0.05%2025-12-02: +0.02%2025-12-03: +0.00%2025-12-04: +0.03%2025-12-05: -0.04%2025-12-06: +0.05%2025-12-07: +0.01%2025-12-08: +0.01%2025-12-09: +0.01%2025-12-10: +0.04%2025-12-11: +0.13%2025-12-12: -0.13%2025-12-13: +0.08%2025-12-14: +0.02%2025-12-15: +0.03%2025-12-16: +0.00%2025-12-17: +0.04%2025-12-18: -0.03%2025-12-19: +0.13%2025-12-20: -0.14%2025-12-21: -0.05%2025-12-22: +0.13%2025-12-23: -0.11%2025-12-24: +0.12%2025-12-25: +0.12%2025-12-26: +0.06%2025-12-27: -0.00%2025-12-28: +0.04%2025-12-29: -0.02%2025-12-30: +0.06%2025-12-31: +0.03%
151015202530
2026
Jan2026-01-01: +0.03%2026-01-02: +0.03%2026-01-03: -0.02%2026-01-04: -0.03%2026-01-05: +0.11%2026-01-06: +0.02%2026-01-07: -0.04%2026-01-08: +0.10%2026-01-09: +0.03%2026-01-10: +0.01%2026-01-11: +0.03%2026-01-12: +0.02%2026-01-13: +0.01%2026-01-14: +0.02%2026-01-15: +0.09%2026-01-16: -0.03%2026-01-17: -0.05%2026-01-18: +0.08%2026-01-19: +0.02%2026-01-20: +0.07%2026-01-21: +0.02%2026-01-22: +0.02%2026-01-23: +0.05%2026-01-24: -0.04%2026-01-25: +0.02%2026-01-26: -0.08%2026-01-27: +0.15%2026-01-28: -0.07%2026-01-29: +0.06%2026-01-30: +0.34%2026-01-31: +0.06%
Feb2026-02-01: -0.02%2026-02-02: +0.01%2026-02-03: +0.06%2026-02-04: +0.04%2026-02-05: +0.04%2026-02-06: +0.35%2026-02-07: +0.01%2026-02-08: +0.16%2026-02-09: +0.62%2026-02-10: +0.04%2026-02-11: +0.03%2026-02-12: +0.21%2026-02-13: +0.05%2026-02-14: +0.05%2026-02-15: +0.14%2026-02-16: -0.02%2026-02-17: +0.12%2026-02-18: +0.01%2026-02-19: -0.02%2026-02-20: +0.01%2026-02-21: -0.03%2026-02-22: +0.03%2026-02-23: +0.04%2026-02-24: +0.17%2026-02-25: +0.07%2026-02-26: +0.06%2026-02-27: +0.01%2026-02-28: +0.02%
Mar2026-03-01: +0.00%2026-03-02: -0.16%2026-03-03: +0.05%2026-03-04: +0.08%2026-03-05: +0.16%2026-03-06: +0.01%2026-03-07: -0.06%2026-03-08: +0.12%2026-03-09: +0.04%2026-03-10: +0.06%2026-03-11: +0.06%2026-03-12: +0.02%2026-03-13: -0.01%2026-03-14: +0.04%2026-03-15: +0.03%2026-03-16: +0.05%2026-03-17: +0.01%2026-03-18: +0.01%2026-03-19: +0.02%2026-03-20: +0.07%2026-03-21: +0.00%2026-03-22: -0.13%2026-03-23: +0.27%2026-03-24: -0.05%2026-03-25: +0.28%2026-03-26: +0.07%2026-03-27: +0.02%2026-03-28: +0.07%2026-03-29: +0.00%2026-03-30: +0.14%2026-03-31: +0.00%
Apr2026-04-01: -0.11%2026-04-02: +0.04%2026-04-03: -0.06%2026-04-04: +0.05%2026-04-05: -0.01%2026-04-06: -0.00%2026-04-07: +0.00%2026-04-08: -0.03%2026-04-09: +0.07%2026-04-10: +0.02%2026-04-11: -0.03%2026-04-12: -0.01%2026-04-13: +0.10%2026-04-14: -0.04%2026-04-15: +0.01%2026-04-16: +0.09%2026-04-17: +2.72%2026-04-18: -0.05%2026-04-19: +0.11%2026-04-20: +0.02%2026-04-21: -0.08%2026-04-22: -0.08%2026-04-23: -0.01%2026-04-24: -0.03%2026-04-25: +0.02%2026-04-26: +0.01%2026-04-27: -0.01%2026-04-28: +0.06%2026-04-29: +0.01%2026-04-30: +0.01%
May2026-05-01: +0.01%2026-05-02: -0.03%2026-05-03: +0.01%2026-05-04: -0.01%2026-05-05: +0.03%2026-05-06: -0.01%2026-05-07: +0.01%2026-05-08: +0.03%2026-05-09: +0.02%2026-05-10: +0.07%2026-05-11: +0.13%2026-05-12: +0.05%2026-05-13: +0.02%2026-05-14: +0.04%2026-05-15: +0.04%2026-05-16: +0.04%2026-05-17: -0.01%2026-05-18: +0.04%2026-05-19: +0.01%2026-05-20: +0.04%2026-05-21: -0.14%2026-05-22: +0.01%2026-05-23: -0.04%2026-05-24: -0.08%2026-05-25: +0.27%2026-05-26: -0.01%2026-05-27: +0.09%2026-05-28: +0.04%2026-05-29: -0.08%2026-05-30: +0.06%2026-05-31: +0.17%
Jun
Jul
Aug
Sep
Oct
Nov
Dec
151015202530