Snapshot

13.40%
Annualized
27,730.84%
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
27,730.84%
Annualized Return
13.40%
Annualized Sharpe Ratio
0.66
Win Percentage
53.55%
Annualized Alpha
6.12%
YTD Return
27.85%
1 Year Return
33.08%
5 Year Return
13.94%
10 Year Return
13.22%
Metric
Modified Duncan Leading Indicator
Annualized Volatility
14.25%
Beta
0.63
Maximum Drawdown
-26.83%
Recovery
127.00
Rebound
42.00
Decline
85.00
Value At Risk
-19.74%
Metric
Modified Duncan Leading Indicator
Upside Capture Ratio
77.00%
Downside Capture Ratio
73.40%
Tracking Error
10.83%
Correlation Coefficient
0.80
Average Triggers Per Year
5.99

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.