This is a price trend indicator which monitors changes in short, medium, and long term momentum of the broad stock market as measured by the S&P 500 Index.

Snapshot

11.20%
Annualized
8,780.38%
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
QEMA
Cumulative Return
8,780.38%
Annualized Return
11.20%
Annualized Sharpe Ratio
0.47
Win Percentage
53.67%
Annualized Alpha
3.58%
YTD Return
-4.23%
1 Year Return
7.42%
5 Year Return
19.81%
10 Year Return
12.26%
Metric
QEMA
Annualized Volatility
14.92%
Beta
0.69
Maximum Drawdown
-33.24%
Recovery
416.00
Rebound
377.00
Decline
39.00
Value At Risk
-23.51%
Metric
QEMA
Upside Capture Ratio
90.08%
Downside Capture Ratio
88.62%
Tracking Error
9.95%
Correlation Coefficient
0.83
Average Triggers Per Year
1.37

Forward Simulation

To run a QEMA forward simulation, select a time horizon (in terms of years) and the number of simulations you'd like to execute.