Snapshot

11.10%
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
11.10%
Annualized Sharpe Ratio
0.47
Win Percentage
53.25%
Annualized Alpha
3.89%
YTD Return
0.00%
1 Year Return
25.42%
5 Year Return
17.84%
10 Year Return
12.97%
Metric
High Yield Spread Indicator
Annualized Volatility
13.62%
Beta
0.60
Maximum Drawdown
-25.03%
Recovery
352.00
Rebound
159.00
Decline
193.00
Value At Risk
-20.59%
Metric
High Yield Spread Indicator
Upside Capture Ratio
75.48%
Downside Capture Ratio
72.39%
Tracking Error
11.03%
Correlation Coefficient
0.79
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.