Snapshot

11.10%
Annualized
5,303.57%
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
High Yield Spread Indicator
Cumulative Return
5,303.57%
Annualized Return
11.10%
Annualized Sharpe Ratio
0.52
Win Percentage
53.14%
Annualized Alpha
4.06%
YTD Return
10.12%
1 Year Return
10.16%
5 Year Return
11.29%
10 Year Return
14.03%
Metric
High Yield Spread Indicator
Annualized Volatility
13.50%
Beta
0.59
Maximum Drawdown
-25.03%
Recovery
352.00
Rebound
159.00
Decline
193.00
Value At Risk
-20.30%
Metric
High Yield Spread Indicator
Upside Capture Ratio
74.53%
Downside Capture Ratio
71.64%
Tracking Error
11.25%
Correlation Coefficient
0.78
Average Triggers Per Year
2.95

Forward Simulation

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