Snapshot

10.93%
Annualized
4,709.19%
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
4,709.19%
Annualized Return
10.93%
Annualized Sharpe Ratio
0.48
Win Percentage
53.14%
Annualized Alpha
3.92%
YTD Return
-2.00%
1 Year Return
10.23%
5 Year Return
13.50%
10 Year Return
12.58%
Metric
High Yield Spread Indicator
Annualized Volatility
13.56%
Beta
0.59
Maximum Drawdown
-25.03%
Recovery
352.00
Rebound
159.00
Decline
193.00
Value At Risk
-20.62%
Metric
High Yield Spread Indicator
Upside Capture Ratio
74.75%
Downside Capture Ratio
71.82%
Tracking Error
11.30%
Correlation Coefficient
0.78
Average Triggers Per Year
2.92

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.