SGI US Delta Cap Mean Reversion

Index level: 1168.190 as of 01/12/2022

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +2.89 % -0.36 % -0.95 % +3.15 % +14.91 %
Annualized Performance +3.15 % +4.74 %
Annualized Volatility +6.56 % +12.95 % +13.15 % +13.01 % +19.86 %
Sharpe Ratio 0.24 0.24
Max Drawdown -0.73 % -7.93 % -8.73 % -8.73 % -19.57 %

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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