From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 46.10% | Sharpe | 0.13 |
| Sortino | 0.19 |
| Beta | −0.19 | Correlation | −0.07 |
| Up capture | 8.04% | Down capture | 47.59% |
| Max Drawdown | −68.07% | Ulcer Index | 42.21 |
| MTD | 1.72% | QTD | 7.79% |
| YTD | 26.14% | Window (ann., 3.0y) | −4.47% |
| Skewness | −0.05 | Excess Kurtosis | 2.08 |
| Omega (θ=0) | 1.02 | Tail Ratio | 1.00 |
| Gain/Pain | 0.02 | Hit Rate | 47.40% |
| Win/Loss | 0.98 | Upside Potential | 0.53 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -4.53% | -7.15% | -4.75% | -6.73% |
| CVaR (ES) | -6.41% | -9.63% | -5.97% | -7.72% |
| VaR (Cornish-Fisher) | — | — | -4.67% | -8.25% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -68.07% | 2023-09-14 | 2025-04-08 | ongoing | 392 | — |
| -3.61% | 2023-09-01 | 2023-09-11 | 2023-09-12 | 5 | 1 |
| -2.53% | 2023-08-23 | 2023-08-24 | 2023-08-28 | 1 | 2 |
| -0.71% | 2023-09-12 | 2023-09-13 | 2023-09-14 | 1 | 1 |
Worst depth first · lengths in trading days.
