From 692 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 5.42% | Sharpe | 0.88 |
| Sortino | 1.30 |
| Beta | 0.22 | Correlation | 0.52 |
| Up capture | 22.79% | Down capture | 28.91% |
| Max Drawdown | −4.85% | Ulcer Index | 1.94 |
| MTD | 0.45% | QTD | −0.87% |
| YTD | −0.75% | Window (ann., 3.0y) | 4.33% |
| Skewness | −0.02 | Excess Kurtosis | 0.95 |
| Omega (θ=0) | 1.16 | Tail Ratio | 1.02 |
| Gain/Pain | 0.16 | Hit Rate | 47.11% |
| Win/Loss | 1.04 | Upside Potential | 0.60 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -0.53% | -0.83% | -0.54% | -0.78% |
| CVaR (ES) | -0.73% | -1.01% | -0.69% | -0.89% |
| VaR (Cornish-Fisher) | — | — | -0.54% | -0.86% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -4.85% | 2023-08-31 | 2023-10-19 | 2023-11-28 | 33 | 27 |
| -4.80% | 2024-09-16 | 2025-01-13 | 2025-04-04 | 81 | 57 |
| -4.01% | 2024-02-01 | 2024-04-25 | 2024-07-11 | 58 | 51 |
| -3.25% | 2026-02-27 | 2026-07-23 | ongoing | 93 | — |
| -2.89% | 2025-04-04 | 2025-04-11 | 2025-08-01 | 5 | 36 |
| -1.74% | 2023-12-27 | 2024-01-24 | 2024-02-01 | 18 | 6 |
| -1.12% | 2024-08-02 | 2024-08-08 | 2024-08-21 | 4 | 9 |
| -0.79% | 2024-07-17 | 2024-07-24 | 2024-07-31 | 5 | 5 |
| -0.78% | 2025-11-28 | 2025-12-09 | 2026-01-14 | 7 | 22 |
| -0.78% | 2025-09-11 | 2025-09-25 | 2025-10-02 | 9 | 5 |
Worst depth first · lengths in trading days.
