Snapshot

11.08%
Annualized
9,445.17%
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
9,445.17%
Annualized Return
11.08%
Annualized Sharpe Ratio
0.44
Win Percentage
53.76%
Annualized Alpha
2.99%
YTD Return
2.78%
1 Year Return
11.56%
5 Year Return
14.99%
10 Year Return
11.69%
Metric
Sigma Indicator
Annualized Volatility
15.26%
Beta
0.72
Maximum Drawdown
-33.51%
Recovery
488.00
Rebound
416.00
Decline
72.00
Value At Risk
-24.42%
Metric
Sigma Indicator
Upside Capture Ratio
89.94%
Downside Capture Ratio
88.03%
Tracking Error
9.63%
Correlation Coefficient
0.85
Average Triggers Per Year
1.98

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.