Snapshot

13.16%
Annualized
26,680.51%
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
26,680.51%
Annualized Return
13.16%
Annualized Sharpe Ratio
0.62
Win Percentage
53.53%
Annualized Alpha
5.83%
YTD Return
-3.34%
1 Year Return
23.13%
5 Year Return
9.59%
10 Year Return
12.77%
Metric
Modified Duncan Leading Indicator
Annualized Volatility
14.23%
Beta
0.63
Maximum Drawdown
-26.83%
Recovery
127.00
Rebound
42.00
Decline
85.00
Value At Risk
-19.94%
Metric
Modified Duncan Leading Indicator
Upside Capture Ratio
77.00%
Downside Capture Ratio
73.46%
Tracking Error
10.79%
Correlation Coefficient
0.80
Average Triggers Per Year
5.97

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.