Snapshot

13.33%
Annualized
27,605.93%
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
Modified Duncan Leading Indicator
Cumulative Return
27,605.93%
Annualized Return
13.33%
Annualized Sharpe Ratio
0.65
Win Percentage
53.54%
Annualized Alpha
6.00%
YTD Return
27.28%
1 Year Return
27.40%
5 Year Return
12.09%
10 Year Return
13.24%
Metric
Modified Duncan Leading Indicator
Annualized Volatility
14.24%
Beta
0.63
Maximum Drawdown
-26.83%
Recovery
127.00
Rebound
42.00
Decline
85.00
Value At Risk
-19.78%
Metric
Modified Duncan Leading Indicator
Upside Capture Ratio
76.91%
Downside Capture Ratio
73.35%
Tracking Error
10.82%
Correlation Coefficient
0.80
Average Triggers Per Year
5.99

Forward Simulation

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