Risk Measures

Risk Analysis

Distribution of Returns
U1373777

Ending VAMI
Max Drawdown:
Peak-To-Valley:
Recovery:

1,180.29
19.44%
Aug 14 - Oct 14
3 Months

Sharpe Ratio:

0.58

Sortino Ratio:

0.80

Calmar Ratio:

1.02

Standard Deviation:

14.13%

Downside Deviation:

7.45%

Mean Return:

2.36%

Positive Periods:

6 (54.55%)

Negative Periods:

5 (45.45%)

PortfolioAnalyst

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