From 752 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 22.86% | Sharpe | 0.32 |
| Sortino | 0.45 |
| Beta | 1.10 | Correlation | 0.70 |
| Up capture | 71.42% | Down capture | 158.02% |
| Max Drawdown | −32.83% | Ulcer Index | 12.06 |
| MTD | 3.71% | QTD | 10.18% |
| YTD | −3.19% | Window (ann., 3.0y) | 4.68% |
| Skewness | 0.02 | Excess Kurtosis | 4.64 |
| Omega (θ=0) | 1.06 | Tail Ratio | 1.05 |
| Gain/Pain | 0.06 | Hit Rate | 51.99% |
| Win/Loss | 0.96 | Upside Potential | 0.54 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.21% | -3.38% | -2.34% | -3.32% |
| CVaR (ES) | -3.08% | -4.47% | -2.94% | -3.81% |
| VaR (Cornish-Fisher) | — | — | -2.20% | -4.87% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -32.83% | 2025-09-19 | 2026-03-30 | ongoing | 131 | — |
| -24.48% | 2025-02-20 | 2025-04-08 | 2025-07-23 | 33 | 72 |
| -17.30% | 2023-09-01 | 2023-10-27 | 2023-12-07 | 39 | 28 |
| -14.36% | 2024-05-17 | 2024-08-05 | 2024-09-27 | 53 | 38 |
| -9.57% | 2024-12-09 | 2025-01-13 | 2025-02-14 | 22 | 23 |
| -8.01% | 2025-07-23 | 2025-08-01 | 2025-09-15 | 7 | 30 |
| -6.67% | 2024-03-25 | 2024-04-19 | 2024-05-17 | 18 | 20 |
| -5.09% | 2023-12-26 | 2024-01-17 | 2024-02-15 | 14 | 21 |
| -3.25% | 2024-09-27 | 2024-10-03 | 2024-10-11 | 4 | 6 |
| -3.23% | 2024-02-15 | 2024-02-28 | 2024-03-20 | 8 | 15 |
Worst depth first · lengths in trading days.
