Snapshot

11.26%
Annualized
10,534.78%
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
10,534.78%
Annualized Return
11.26%
Annualized Sharpe Ratio
0.48
Win Percentage
53.80%
Annualized Alpha
3.15%
YTD Return
14.52%
1 Year Return
15.12%
5 Year Return
14.69%
10 Year Return
13.33%
Metric
Sigma Indicator
Annualized Volatility
15.23%
Beta
0.72
Maximum Drawdown
-33.51%
Recovery
488.00
Rebound
416.00
Decline
72.00
Value At Risk
-24.16%
Metric
Sigma Indicator
Upside Capture Ratio
90.03%
Downside Capture Ratio
88.11%
Tracking Error
9.59%
Correlation Coefficient
0.85
Average Triggers Per Year
1.97

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.