Snapshot

12.95%
Annualized
5,219.04%
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
Tightening Lending Standards 2024.07.21
Cumulative Return
5,219.04%
Annualized Return
12.95%
Annualized Sharpe Ratio
0.68
Win Percentage
53.27%
Annualized Alpha
6.55%
YTD Return
0.95%
1 Year Return
17.83%
5 Year Return
8.21%
10 Year Return
8.92%
Metric
Tightening Lending Standards 2024.07.21
Annualized Volatility
12.29%
Beta
0.45
Maximum Drawdown
-20.38%
Recovery
472.00
Rebound
328.00
Decline
144.00
Value At Risk
-15.64%
Metric
Tightening Lending Standards 2024.07.21
Upside Capture Ratio
69.79%
Downside Capture Ratio
66.03%
Tracking Error
13.49%
Correlation Coefficient
0.67
Average Triggers Per Year
4.54

Forward Simulation

To run a Tightening Lending Standards 2024.07.21 forward simulation, select a time horizon (in terms of years) and the number of simulations you'd like to execute.