Snapshot

13.54%
Annualized
25,716.10%
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
25,716.10%
Annualized Return
13.54%
Annualized Sharpe Ratio
0.67
Win Percentage
53.95%
Annualized Alpha
5.97%
YTD Return
0.54%
1 Year Return
3.62%
5 Year Return
10.82%
10 Year Return
12.37%
Metric
Monthly SMA
Annualized Volatility
13.92%
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
84.40%
Downside Capture Ratio
81.38%
Tracking Error
11.37%
Correlation Coefficient
0.77
Average Triggers Per Year
12.24

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.