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SGI US Delta Cap Mean Reversion

Index level: 1032.52 as of 06/12/2019

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +1.10 % -0.14 % +3.26 % -0.18 % -10.08 %
Annualized Performance -0.18 % -3.48 %
Annualized Volatility +7.05 % +13.71 % +12.05 % +16.53 % +16.33 %
Sharpe Ratio -0.01 -0.21
Max Drawdown -1.27 % -8.00 % -9.18 % -13.00 % -27.16 %

The SGI US Delta Cap Mean Reversion has been backtested since 03/01/1990 and calculated since 03/06/2013.
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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