master
0% [############################# ] 100% | ETA: 00:00:00
Stat master
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Start 2003-07-07
End 2014-09-11
Risk-free rate 0.00%
Total Return 24.20%
Daily Sharpe 0.26
Daily Sortino 0.35
CAGR 1.96%
Max Drawdown -28.16%
Calmar Ratio 0.07
MTD 0.61%
3m 0.15%
6m -2.28%
YTD -3.73%
1Y 2.31%
3Y (ann.) 4.51%
5Y (ann.) 1.13%
10Y (ann.) 1.36%
Since Incep. (ann.) 1.96%
Daily Sharpe 0.26
Daily Sortino 0.35
Daily Mean (ann.) 2.07%
Daily Vol (ann.) 7.91%
Daily Skew -0.14
Daily Kurt 3.91
Best Day 3.56%
Worst Day -2.73%
Monthly Sharpe 0.27
Monthly Sortino 0.33
Monthly Mean (ann.) 2.31%
Monthly Vol (ann.) 8.56%
Monthly Skew -0.78
Monthly Kurt 1.97
Best Month 6.56%
Worst Month -8.42%
Yearly Sharpe 0.19
Yearly Sortino 0.38
Yearly Mean 1.47%
Yearly Vol 7.82%
Yearly Skew 0.02
Yearly Kurt -0.49
Best Year 15.14%
Worst Year -11.56%
Avg. Drawdown -1.37%
Avg. Drawdown Days 55.30
Avg. Up Month 1.68%
Avg. Down Month -2.01%
Win Year % 54.55%
Win 12m % 67.74%