Snapshot

11.10%
Annualized
5,220.74%
Lifetime

Historical Performance

Linear

Chart Period: Click on a point in the chart and drag either to the left or right to zoom in and highlight a specific period within the performance history.

For further details on the Performance Summary, click here.

Please Note: The initial investment value will reset when choosing a new time period to illustrate relative performance.

Performance & Risk Analysis

Metric
High Yield Spread Indicator
Cumulative Return
5,220.74%
Annualized Return
11.10%
Annualized Sharpe Ratio
0.53
Win Percentage
53.17%
Annualized Alpha
4.11%
YTD Return
8.43%
1 Year Return
11.24%
5 Year Return
13.51%
10 Year Return
13.86%
Metric
High Yield Spread Indicator
Annualized Volatility
13.52%
Beta
0.59
Maximum Drawdown
-25.03%
Recovery
352.00
Rebound
159.00
Decline
193.00
Value At Risk
-20.35%
Metric
High Yield Spread Indicator
Upside Capture Ratio
74.79%
Downside Capture Ratio
71.85%
Tracking Error
11.25%
Correlation Coefficient
0.78
Average Triggers Per Year
2.94

Forward Simulation

To run a High Yield Spread Indicator forward simulation, select a time horizon (in terms of years) and the number of simulations you'd like to execute.