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SGI US Delta Cap Mean Reversion

Index level: 1019.99 as of 17/09/2020

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +0.99 % +9.27 % +1.67 % -1.46 % -17.05 %
Annualized Performance -1.46 % -6.04 %
Annualized Volatility +28.92 % +13.53 % +37.88 % +32.43 % +24.50 %
Sharpe Ratio -0.04 -0.25
Max Drawdown -4.45 % -5.48 % -19.57 % -20.14 % -32.01 %

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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