Snapshot

11.12%
Annualized
5,802.94%
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
5,802.94%
Annualized Return
11.12%
Annualized Sharpe Ratio
0.44
Win Percentage
53.07%
Annualized Alpha
3.55%
YTD Return
9.24%
1 Year Return
12.18%
5 Year Return
11.40%
10 Year Return
13.95%
Metric
High Yield Spread Indicator
Annualized Volatility
13.40%
Beta
0.58
Maximum Drawdown
-25.03%
Recovery
352.00
Rebound
159.00
Decline
193.00
Value At Risk
-20.05%
Metric
High Yield Spread Indicator
Upside Capture Ratio
73.92%
Downside Capture Ratio
71.03%
Tracking Error
11.24%
Correlation Coefficient
0.78
Average Triggers Per Year
2.97

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.