Snapshot

13.18%
Annualized
28,607.28%
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
28,607.28%
Annualized Return
13.18%
Annualized Sharpe Ratio
0.56
Win Percentage
53.56%
Annualized Alpha
5.37%
YTD Return
3.61%
1 Year Return
4.30%
5 Year Return
9.72%
10 Year Return
13.16%
Metric
Modified Duncan Leading Indicator
Annualized Volatility
14.19%
Beta
0.63
Maximum Drawdown
-26.83%
Recovery
127.00
Rebound
42.00
Decline
85.00
Value At Risk
-19.82%
Metric
Modified Duncan Leading Indicator
Upside Capture Ratio
76.66%
Downside Capture Ratio
72.98%
Tracking Error
10.77%
Correlation Coefficient
0.80
Average Triggers Per Year
6.02

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.