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- GSPC (US Large Cap):
- Me Index
- Cumulative Return 68.11285310 71.15426170
- Annual Return 0.07114901 0.07189781
- Annualized Sharpe Ratio 0.61792340 0.46535064
- Win % 0.54320873 0.53242454
- Annualized Volatility 0.11514213 0.15450243
- Maximum Drawdown -0.33509517 -0.56775389
- Max Length Drawdown 1378.00000000 1898.00000000
- FTSE (UK and Ireland):
- Me Index
- Cumulative Return 3.27952156 3.8404476
- Annual Return 0.05421708 0.0589431
- Annualized Sharpe Ratio 0.43879933 0.3298633
- Win % 0.53084556 0.5239884
- Annualized Volatility 0.12355779 0.1786895
- Maximum Drawdown -0.40641281 -0.5256991
- Max Length Drawdown 2415.00000000 2960.0000000
- DJI (US Large Industrial):
- Me Index
- Cumulative Return 54.43942856 46.53410275
- Annual Return 0.04975879 0.04780746
- Annualized Sharpe Ratio 0.39209260 0.25940805
- Win % 0.53114609 0.52286637
- Annualized Volatility 0.12690571 0.18429444
- Maximum Drawdown -0.47873652 -0.89185928
- Max Length Drawdown 2939.00000000 6301.00000000
- N225 (Japan):
- Me Index
- Cumulative Return 1.19191792 -0.12146268
- Annual Return 0.02944405 -0.00477699
- Annualized Sharpe Ratio 0.20219646 -0.02053661
- Win % 0.52668464 0.51337842
- Annualized Volatility 0.14562099 0.23260863
- Maximum Drawdown -0.48041098 -0.81871261
- Max Length Drawdown 5342.00000000 5342.00000000
- EEM (Emerging Markets):
- Me Index
- Cumulative Return 1.3516523 2.6866421
- Annual Return 0.1067269 0.1673357
- Annualized Sharpe Ratio 0.4699541 0.4733869
- Win % 0.5393333 0.5437766
- Annualized Volatility 0.2271008 0.3534862
- Maximum Drawdown -0.2623762 -0.6709596
- Max Length Drawdown 488.0000000 980.0000000
- EFA (Developed Markets):
- Me Index
- Cumulative Return 0.46097518 0.37854022
- Annual Return 0.03845159 0.03246626
- Annualized Sharpe Ratio 0.23270321 0.12961493
- Win % 0.53257143 0.53269537
- Annualized Volatility 0.16523875 0.25048242
- Maximum Drawdown -0.25703652 -0.61761011
- Max Length Drawdown 589.00000000 980.00000000
- GLD (Gold):
- Me Index
- Cumulative Return 1.7309002 2.9607932
- Annual Return 0.1583762 0.2231517
- Annualized Sharpe Ratio 0.9378088 1.0499845
- Win % 0.5548335 0.5519860
- Annualized Volatility 0.1688790 0.2125286
- Maximum Drawdown -0.2326084 -0.2941414
- Max Length Drawdown 433.0000000 379.0000000
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