Snapshot

11.01%
Annualized
4,807.10%
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
4,807.10%
Annualized Return
11.01%
Annualized Sharpe Ratio
0.50
Win Percentage
53.19%
Annualized Alpha
4.19%
YTD Return
0.00%
1 Year Return
19.31%
5 Year Return
14.89%
10 Year Return
12.93%
Metric
High Yield Spread Indicator
Annualized Volatility
13.57%
Beta
0.59
Maximum Drawdown
-25.03%
Recovery
352.00
Rebound
159.00
Decline
193.00
Value At Risk
-20.55%
Metric
High Yield Spread Indicator
Upside Capture Ratio
74.88%
Downside Capture Ratio
71.85%
Tracking Error
11.29%
Correlation Coefficient
0.78
Average Triggers Per Year
2.90

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.