Snapshot

13.13%
Annualized
26,233.81%
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
26,233.81%
Annualized Return
13.13%
Annualized Sharpe Ratio
0.62
Win Percentage
53.52%
Annualized Alpha
5.84%
YTD Return
-4.95%
1 Year Return
20.98%
5 Year Return
10.13%
10 Year Return
12.57%
Metric
Modified Duncan Leading Indicator
Annualized Volatility
14.22%
Beta
0.63
Maximum Drawdown
-26.83%
Recovery
127.00
Rebound
42.00
Decline
85.00
Value At Risk
-19.96%
Metric
Modified Duncan Leading Indicator
Upside Capture Ratio
76.97%
Downside Capture Ratio
73.44%
Tracking Error
10.79%
Correlation Coefficient
0.80
Average Triggers Per Year
5.98

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.