The Asymmetry® Index is a proprietary index developed by Shell Capital Management to measure and benchmark the performance of asymmetric investment strategies — those specifically designed to produce favorable asymmetric risk/reward outcomes: capturing more market upside than downside. The index serves as a performance reference point for evaluating the effectiveness of asymmetric investment approaches relative to traditional market benchmarks.

What the Asymmetry® Index Measures

Traditional market indices — the S&P 500, Russell 2000, MSCI World — measure the return of passively holding a basket of securities. They provide full market exposure: all of the upside and all of the downside. The Asymmetry® Index is structured around strategies that aim to deliver a better risk/reward tradeoff: meaningful participation in gains, with systematically limited participation in losses. It is designed to reflect the performance of an asymmetrically managed approach across various market environments.

Asymmetric Performance Evaluation

The Asymmetry® Index is evaluated not only on absolute return but on asymmetric performance metrics: upside and downside capture ratios, maximum drawdown, Calmar ratio, and Sortino ratio. These metrics capture the most important dimension of asymmetric investment performance — not just how much was earned, but how favorably the gains compare to the losses experienced along the way. A strategy that earns 10% annually with a maximum drawdown of 8% is far more valuable than one that earns 12% with a 40% maximum drawdown.

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