Snapshot

13.05%
Annualized
22,730.48%
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
Modified Duncan Leading Indicator
Cumulative Return
22,730.48%
Annualized Return
13.05%
Annualized Sharpe Ratio
0.61
Win Percentage
53.48%
Annualized Alpha
5.90%
YTD Return
4.88%
1 Year Return
21.77%
5 Year Return
11.77%
10 Year Return
10.46%
Metric
Modified Duncan Leading Indicator
Annualized Volatility
14.27%
Beta
0.63
Maximum Drawdown
-26.83%
Recovery
127.00
Rebound
42.00
Decline
85.00
Value At Risk
-20.16%
Metric
Modified Duncan Leading Indicator
Upside Capture Ratio
76.71%
Downside Capture Ratio
73.15%
Tracking Error
10.89%
Correlation Coefficient
0.80
Average Triggers Per Year
6.05

Forward Simulation

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