From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 25.63% | Sharpe | 1.04 |
| Sortino | 1.44 |
| Beta | 0.85 | Correlation | 0.54 |
| Up capture | 109.52% | Down capture | 74.04% |
Relative Value shows 0.82 — five years of monthly returns, a fixed window (RV).
| Max Drawdown | −18.37% | Ulcer Index | 5.51 |
| MTD | −4.77% | QTD | 6.52% |
| YTD | 16.60% | Window (ann., 3.0y) | 26.12% |
| Skewness | −0.77 | Excess Kurtosis | 6.39 |
| Omega (θ=0) | 1.20 | Tail Ratio | 1.02 |
| Gain/Pain | 0.20 | Hit Rate | 55.13% |
| Win/Loss | 0.91 | Upside Potential | 0.54 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.29% | -5.46% | -2.55% | -3.65% |
| CVaR (ES) | -3.88% | -7.12% | -3.22% | -4.20% |
| VaR (Cornish-Fisher) | — | — | -2.68% | -6.62% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -18.37% | 2025-02-19 | 2025-04-08 | 2025-05-12 | 34 | 23 |
| -15.65% | 2025-09-24 | 2026-03-13 | 2026-04-17 | 117 | 24 |
| -15.35% | 2024-11-07 | 2024-12-18 | 2025-02-12 | 28 | 36 |
| -12.65% | 2024-05-20 | 2024-08-05 | 2024-11-06 | 52 | 66 |
| -9.53% | 2023-08-30 | 2023-10-20 | 2023-11-14 | 36 | 17 |
| -8.72% | 2024-01-24 | 2024-03-04 | 2024-03-27 | 27 | 17 |
| -6.98% | 2024-04-08 | 2024-04-19 | 2024-05-03 | 9 | 10 |
| -5.84% | 2026-05-26 | 2026-06-08 | 2026-07-06 | 9 | 16 |
| -5.79% | 2025-06-02 | 2025-06-17 | 2025-06-27 | 11 | 7 |
| -5.67% | 2026-08-07 | 2026-08-21 | ongoing | 10 | — |
Worst depth first · lengths in trading days.
