From: | Beginning of | 12/1999 | To: | End of | 12/2020 |
| SocGen CTA Index | Return | Total performance | +122,31 % | | Return p.a. | +3,87 % | Risk | Maximum drawdown | -14,26 % | | Volatility p.a. | 8,50 % | | Downside Volatility | 4,49 % | Statistics | Sharpe Ratio | 0,46 | | MAR Ratio | 0,27 | | Sortino Ratio | 0,86 | | Correlation |
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