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SGI Emerging Markets Mean Reversion

Index level: 795.65 as of 02/07/2020

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +2.02 % -0.69 % -1.31 % -20.48 % -26.07 %
Annualized Performance -20.48 % -9.58 %
Annualized Volatility +13.71 % +49.50 % +49.36 % +37.20 % +26.76 %
Sharpe Ratio -0.55 -0.36
Max Drawdown -2.05 % -16.92 % -16.92 % -29.02 % -34.01 %

The SGI Emerging Markets Mean Reversion has been backtested since 03/01/2006 and calculated since 03/09/2013.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.


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