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-2.97%
This Month
-4.55%
Year To Date
+6.86%
2 Years
+38.07%
5 Years
+77.04%
10 Years
+10.61%
Annualized
Performance Metrics
Score 4.6/10
Beta
0.89
0.89
0
0.8
1.2
0
2
Sharpe Ratio
0.42
0.42
0
0.5
1
1.5
1.5
Sortino Ratio
0.67
0.67
0
1
2
3
3
Jensen's Alpha
0.22
0.22
-2
0
2
4.5
4.5
Omega Ratio
0.96
0.96
0
1
1.5
2.5
2.5
Treynor Ratio
0.9
0.9
0
0.75
1.25
2
2
Information Ratio
-0.05
-0.05
-1
0.3
0.6
1
1
Calmar Ratio
0.32
0.32
0
0.3
0.6
1
1
Beta
0.89
0.89
0
0.8
1.2
0
2
Sharpe Ratio
0.42
0.42
0
0.5
1
1.5
1.5
Sortino Ratio
0.67
0.67
0
1
2
3
3
Jensen's Alpha
0.22
0.22
-2
0
2
4.5
4.5
Omega Ratio
0.96
0.96
0
1
1.5
2.5
2.5
Treynor Ratio
0.9
0.9
0
0.75
1.25
2
2
Information Ratio
-0.05
-0.05
-1
0.3
0.6
1
1
Calmar Ratio
0.32
0.32
0
0.3
0.6
1
1
Portfolio Valuation
Based on current positions
P/E Ratio
N/A
Details
PEG Ratio
N/A
Details
Price/Book
N/A
Details
Price/Sales
N/A
Details
Price/CF
N/A
Details
Price/FCF
N/A
Details
Drawdowns
Worst Drawdowns
Depth | Start | End | Total months |
|---|---|---|---|
-32.11% | Apr 2022 | Jul 2023 | 15 |
-14.84% | Apr 2024 | - | 25 |
-8.48% | Sep 2020 | Nov 2020 | 2 |
-8.31% | Jan 2024 | Feb 2024 | 1 |
-7.27% | Aug 2023 | Nov 2023 | 3 |
-6.8% | Mar 2020 | Apr 2020 | 1 |