Snapshot

11.06%
Annualized
5,303.57%
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
5,303.57%
Annualized Return
11.06%
Annualized Sharpe Ratio
0.50
Win Percentage
53.12%
Annualized Alpha
3.96%
YTD Return
0.00%
1 Year Return
10.12%
5 Year Return
10.44%
10 Year Return
14.03%
Metric
High Yield Spread Indicator
Annualized Volatility
13.47%
Beta
0.59
Maximum Drawdown
-25.03%
Recovery
352.00
Rebound
159.00
Decline
193.00
Value At Risk
-20.29%
Metric
High Yield Spread Indicator
Upside Capture Ratio
74.30%
Downside Capture Ratio
71.41%
Tracking Error
11.24%
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.