From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 24.78% | Sharpe | 1.27 |
| Sortino | 1.86 |
| Beta | 1.60 | Correlation | 0.86 |
| Up capture | 143.97% | Down capture | 132.28% |
| Max Drawdown | −26.35% | Ulcer Index | 6.35 |
| MTD | 7.71% | QTD | −3.32% |
| YTD | 24.72% | Window (ann., 3.0y) | 32.75% |
| Skewness | 0.06 | Excess Kurtosis | 6.39 |
| Omega (θ=0) | 1.25 | Tail Ratio | 0.90 |
| Gain/Pain | 0.25 | Hit Rate | 55.93% |
| Win/Loss | 0.97 | Upside Potential | 0.58 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.65% | -3.72% | -2.44% | -3.51% |
| CVaR (ES) | -3.50% | -5.49% | -3.09% | -4.03% |
| VaR (Cornish-Fisher) | — | — | -2.21% | -5.77% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -26.35% | 2025-02-18 | 2025-04-08 | 2025-06-24 | 35 | 52 |
| -20.19% | 2026-06-02 | 2026-07-29 | ongoing | 37 | — |
| -16.47% | 2026-01-28 | 2026-03-30 | 2026-04-17 | 42 | 13 |
| -13.99% | 2024-07-10 | 2024-08-05 | 2024-09-26 | 18 | 37 |
| -11.63% | 2025-11-03 | 2025-11-20 | 2026-01-28 | 13 | 45 |
| -11.52% | 2023-09-01 | 2023-10-26 | 2023-11-14 | 38 | 13 |
| -8.07% | 2024-03-12 | 2024-04-19 | 2024-05-15 | 27 | 18 |
| -6.31% | 2024-12-16 | 2025-01-13 | 2025-01-22 | 17 | 6 |
| -5.08% | 2025-10-08 | 2025-10-10 | 2025-10-24 | 2 | 10 |
| -4.72% | 2023-12-28 | 2024-01-05 | 2024-01-19 | 5 | 9 |
Worst depth first · lengths in trading days.
