Snapshot

11.14%
Annualized
9,274.77%
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
Sigma Indicator
Cumulative Return
9,274.77%
Annualized Return
11.14%
Annualized Sharpe Ratio
0.43
Win Percentage
53.73%
Annualized Alpha
2.97%
YTD Return
0.95%
1 Year Return
24.47%
5 Year Return
13.37%
10 Year Return
11.90%
Metric
Sigma Indicator
Annualized Volatility
15.12%
Beta
0.71
Maximum Drawdown
-33.51%
Recovery
488.00
Rebound
416.00
Decline
72.00
Value At Risk
-24.04%
Metric
Sigma Indicator
Upside Capture Ratio
89.84%
Downside Capture Ratio
87.92%
Tracking Error
9.68%
Correlation Coefficient
0.84
Average Triggers Per Year
2.00

Forward Simulation

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