Snapshot

12.86%
Annualized
5,439.69%
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
5,439.69%
Annualized Return
12.86%
Annualized Sharpe Ratio
0.70
Win Percentage
53.24%
Annualized Alpha
6.69%
YTD Return
5.13%
1 Year Return
11.84%
5 Year Return
7.41%
10 Year Return
9.16%
Metric
Tightening Lending Standards 2024.07.21
Annualized Volatility
12.26%
Beta
0.45
Maximum Drawdown
-20.38%
Recovery
472.00
Rebound
328.00
Decline
144.00
Value At Risk
-15.66%
Metric
Tightening Lending Standards 2024.07.21
Upside Capture Ratio
69.58%
Downside Capture Ratio
65.89%
Tracking Error
13.64%
Correlation Coefficient
0.67
Average Triggers Per Year
4.55

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.