From 143 daily returns, full history. Click a metric for its method.
| Ann. Volatility | 4.24% | Sharpe | −0.15 |
| Sortino | −0.21 |
Only 7 paired months (needs 12) — not enough to estimate.
| Max Drawdown | −2.93% | Ulcer Index | 1.45 |
| MTD | 0.37% | QTD | −1.21% |
| YTD | −0.42% | Since inception | −0.42% |
| Skewness | −0.06 | Excess Kurtosis | −0.09 |
| Omega (θ=0) | 0.98 | Tail Ratio | 1.09 |
| Gain/Pain | −0.02 | Hit Rate | 47.55% |
| Win/Loss | 0.93 | Upside Potential | 0.54 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -0.41% | -0.60% | -0.44% | -0.62% |
| CVaR (ES) | -0.54% | -0.71% | -0.55% | -0.72% |
| VaR (Cornish-Fisher) | — | — | -0.45% | -0.63% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -2.93% | 2026-02-27 | 2026-03-27 | ongoing | 20 | — |
| -0.60% | 2026-01-14 | 2026-01-20 | 2026-02-05 | 3 | 12 |
| -0.19% | 2026-02-10 | 2026-02-11 | 2026-02-12 | 1 | 1 |
| -0.14% | 2026-02-23 | 2026-02-25 | 2026-02-26 | 2 | 1 |
| -0.12% | 2026-02-17 | 2026-02-18 | 2026-02-23 | 1 | 3 |
| -0.02% | 2026-02-05 | 2026-02-06 | 2026-02-09 | 1 | 1 |
Worst depth first · lengths in trading days.
