Snapshot

13.58%
Annualized
25,163.33%
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
Monthly SMA
Cumulative Return
25,163.33%
Annualized Return
13.58%
Annualized Sharpe Ratio
0.69
Win Percentage
53.93%
Annualized Alpha
6.12%
YTD Return
4.10%
1 Year Return
4.61%
5 Year Return
13.02%
10 Year Return
11.97%
Metric
Monthly SMA
Annualized Volatility
13.94%
Beta
0.60
Maximum Drawdown
-23.33%
Recovery
102.00
Rebound
78.00
Decline
24.00
Value At Risk
-18.84%
Metric
Monthly SMA
Upside Capture Ratio
84.29%
Downside Capture Ratio
81.27%
Tracking Error
11.41%
Correlation Coefficient
0.77
Average Triggers Per Year
12.32

Forward Simulation

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