Snapshot

13.76%
Annualized
24,399.05%
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
24,399.05%
Annualized Return
13.76%
Annualized Sharpe Ratio
0.66
Win Percentage
53.96%
Annualized Alpha
6.15%
YTD Return
0.95%
1 Year Return
24.47%
5 Year Return
14.22%
10 Year Return
11.35%
Metric
Monthly SMA
Annualized Volatility
13.84%
Beta
0.59
Maximum Drawdown
-23.33%
Recovery
102.00
Rebound
78.00
Decline
24.00
Value At Risk
-18.43%
Metric
Monthly SMA
Upside Capture Ratio
84.41%
Downside Capture Ratio
81.24%
Tracking Error
11.47%
Correlation Coefficient
0.77
Average Triggers Per Year
12.39

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.