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Jan 21st, 2018
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  1. GSPC (US Large Cap):
  2. Me Index
  3. Cumulative Return 68.11285310 71.15426170
  4. Annual Return 0.07114901 0.07189781
  5. Annualized Sharpe Ratio 0.61792340 0.46535064
  6. Win % 0.54320873 0.53242454
  7. Annualized Volatility 0.11514213 0.15450243
  8. Maximum Drawdown -0.33509517 -0.56775389
  9. Max Length Drawdown 1378.00000000 1898.00000000
  10.  
  11. FTSE (UK and Ireland):
  12. Me Index
  13. Cumulative Return 3.27952156 3.8404476
  14. Annual Return 0.05421708 0.0589431
  15. Annualized Sharpe Ratio 0.43879933 0.3298633
  16. Win % 0.53084556 0.5239884
  17. Annualized Volatility 0.12355779 0.1786895
  18. Maximum Drawdown -0.40641281 -0.5256991
  19. Max Length Drawdown 2415.00000000 2960.0000000
  20.  
  21. DJI (US Large Industrial):
  22. Me Index
  23. Cumulative Return 54.43942856 46.53410275
  24. Annual Return 0.04975879 0.04780746
  25. Annualized Sharpe Ratio 0.39209260 0.25940805
  26. Win % 0.53114609 0.52286637
  27. Annualized Volatility 0.12690571 0.18429444
  28. Maximum Drawdown -0.47873652 -0.89185928
  29. Max Length Drawdown 2939.00000000 6301.00000000
  30.  
  31. N225 (Japan):
  32. Me Index
  33. Cumulative Return 1.19191792 -0.12146268
  34. Annual Return 0.02944405 -0.00477699
  35. Annualized Sharpe Ratio 0.20219646 -0.02053661
  36. Win % 0.52668464 0.51337842
  37. Annualized Volatility 0.14562099 0.23260863
  38. Maximum Drawdown -0.48041098 -0.81871261
  39. Max Length Drawdown 5342.00000000 5342.00000000
  40.  
  41. EEM (Emerging Markets):
  42. Me Index
  43. Cumulative Return 1.3516523 2.6866421
  44. Annual Return 0.1067269 0.1673357
  45. Annualized Sharpe Ratio 0.4699541 0.4733869
  46. Win % 0.5393333 0.5437766
  47. Annualized Volatility 0.2271008 0.3534862
  48. Maximum Drawdown -0.2623762 -0.6709596
  49. Max Length Drawdown 488.0000000 980.0000000
  50.  
  51. EFA (Developed Markets):
  52. Me Index
  53. Cumulative Return 0.46097518 0.37854022
  54. Annual Return 0.03845159 0.03246626
  55. Annualized Sharpe Ratio 0.23270321 0.12961493
  56. Win % 0.53257143 0.53269537
  57. Annualized Volatility 0.16523875 0.25048242
  58. Maximum Drawdown -0.25703652 -0.61761011
  59. Max Length Drawdown 589.00000000 980.00000000
  60.  
  61. GLD (Gold):
  62. Me Index
  63. Cumulative Return 1.7309002 2.9607932
  64. Annual Return 0.1583762 0.2231517
  65. Annualized Sharpe Ratio 0.9378088 1.0499845
  66. Win % 0.5548335 0.5519860
  67. Annualized Volatility 0.1688790 0.2125286
  68. Maximum Drawdown -0.2326084 -0.2941414
  69. Max Length Drawdown 433.0000000 379.0000000
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