From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 26.45% | Sharpe | −0.01 |
| Sortino | −0.02 |
| Beta | 0.44 | Correlation | 0.25 |
| Up capture | 32.63% | Down capture | 110.18% |
Relative Value shows 0.85 — five years of monthly returns, a fixed window (RV).
| Max Drawdown | −37.93% | Ulcer Index | 16.83 |
| MTD | 6.80% | QTD | 9.73% |
| YTD | −6.12% | Window (ann., 3.0y) | −3.79% |
| Skewness | −0.22 | Excess Kurtosis | 8.29 |
| Omega (θ=0) | 1.00 | Tail Ratio | 1.05 |
| Gain/Pain | −0.00 | Hit Rate | 50.27% |
| Win/Loss | 0.98 | Upside Potential | 0.49 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.35% | -3.44% | -2.74% | -3.88% |
| CVaR (ES) | -3.64% | -6.68% | -3.44% | -4.44% |
| VaR (Cornish-Fisher) | — | — | -2.57% | -7.35% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -37.93% | 2024-09-12 | 2026-05-11 | ongoing | 415 | — |
| -18.35% | 2023-08-29 | 2023-11-16 | 2024-02-28 | 56 | 69 |
| -11.99% | 2024-03-11 | 2024-04-30 | 2024-05-14 | 35 | 10 |
| -4.67% | 2024-07-31 | 2024-08-05 | 2024-08-16 | 3 | 9 |
| -4.54% | 2024-06-12 | 2024-07-01 | 2024-07-24 | 12 | 16 |
| -3.72% | 2024-05-22 | 2024-05-29 | 2024-06-05 | 4 | 5 |
| -3.35% | 2024-08-30 | 2024-09-05 | 2024-09-10 | 3 | 3 |
| -2.08% | 2024-05-15 | 2024-05-20 | 2024-05-22 | 3 | 2 |
| -2.01% | 2024-03-01 | 2024-03-05 | 2024-03-07 | 2 | 2 |
| -1.95% | 2024-08-20 | 2024-08-21 | 2024-08-28 | 1 | 5 |
Worst depth first · lengths in trading days.
