Snapshot

13.56%
Annualized
25,535.23%
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
Monthly SMA
Cumulative Return
25,535.23%
Annualized Return
13.56%
Annualized Sharpe Ratio
0.68
Win Percentage
53.95%
Annualized Alpha
6.05%
YTD Return
5.63%
1 Year Return
5.91%
5 Year Return
11.61%
10 Year Return
11.77%
Metric
Monthly SMA
Annualized Volatility
13.93%
Beta
0.60
Maximum Drawdown
-23.33%
Recovery
102.00
Rebound
78.00
Decline
24.00
Value At Risk
-18.85%
Metric
Monthly SMA
Upside Capture Ratio
84.36%
Downside Capture Ratio
81.33%
Tracking Error
11.39%
Correlation Coefficient
0.77
Average Triggers Per Year
12.27

Forward Simulation

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