Composing
Realised return, volatility, drawdown, and rolling Sharpe over the live and simulated periods.
| Period | Total Ret | Ann Ret | Ann Vol | Sharpe | Sortino | Max DD | Calmar | Hit % |
|---|---|---|---|---|---|---|---|---|
| ALL | 36.64% | 6.47% | 11.33% | 0.61 | 0.80 | -17.25% | 0.37 | 51.4% |
| YTD | 16.28% | 53.28% | 12.75% | 3.42 | 4.60 | -4.04% | 13.18 | 67.4% |
| 1Y | 20.54% | 20.54% | 12.16% | 1.60 | 2.25 | -5.40% | 3.81 | 58.7% |
| 3M | 6.87% | 30.44% | 12.88% | 2.13 | 2.98 | -4.04% | 7.53 | 65.1% |
| 1M | 2.53% | 34.97% | 10.96% | 2.79 | 4.27 | -1.22% | 28.78 | 52.4% |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | · | · | · | · | 0.0 | 0.0 | 0.0 | 0.0 | -1.8 | 2.0 | -0.7 | 3.4 | 2.8 |
| 2022 | -1.7 | -0.7 | 2.0 | -1.1 | 1.6 | -6.1 | -0.3 | 1.0 | -1.2 | 3.8 | -1.7 | -0.3 | -5.1 |
| 2023 | -5.2 | -1.7 | -0.9 | 2.4 | -3.4 | 0.1 | -3.0 | 3.1 | 0.1 | -0.5 | 1.3 | -2.2 | -9.8 |
| 2024 | 5.2 | 12.8 | 2.5 | -5.3 | -0.5 | 1.2 | -0.8 | 1.5 | 0.9 | 4.0 | 6.3 | -4.5 | 24.5 |
| 2025 | 3.0 | -0.4 | -2.2 | 2.4 | 2.3 | -1.3 | -1.1 | 0.2 | 4.7 | 0.2 | -0.1 | -0.5 | 7.3 |
| 2026 | 5.8 | 4.8 | -2.2 | 5.0 | 2.1 | · | · | · | · | · | · | · | 16.3 |