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SGI US Delta Cap Mean Reversion

Index level: 1017.23 as of 08/07/2020

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +7.42 % +1.09 % +1.39 % +0.04 % -14.99 %
Annualized Performance +0.04 % -5.27 %
Annualized Volatility +9.70 % +44.21 % +43.35 % +32.54 % +24.30 %
Sharpe Ratio 0.00 -0.22
Max Drawdown -0.29 % -19.57 % -19.57 % -20.14 % -32.52 %

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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