From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 26.47% | Sharpe | 0.58 |
| Sortino | 0.79 |
| Beta | −0.27 | Correlation | −0.12 |
| Up capture | 49.88% | Down capture | −1.48% |
Relative Value shows 0.15 — five years of monthly returns, a fixed window (RV).
| Max Drawdown | −30.64% | Ulcer Index | 12.70 |
| MTD | −1.02% | QTD | 21.14% |
| YTD | 32.04% | Window (ann., 3.0y) | 12.42% |
| Skewness | −0.54 | Excess Kurtosis | 3.12 |
| Omega (θ=0) | 1.10 | Tail Ratio | 0.91 |
| Gain/Pain | 0.10 | Hit Rate | 53.20% |
| Win/Loss | 0.94 | Upside Potential | 0.53 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.74% | -4.70% | -2.68% | -3.82% |
| CVaR (ES) | -4.11% | -6.24% | -3.38% | -4.38% |
| VaR (Cornish-Fisher) | — | — | -2.83% | -5.52% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -30.64% | 2023-10-17 | 2025-04-08 | 2025-11-07 | 369 | 148 |
| -23.23% | 2026-04-16 | 2026-07-01 | ongoing | 49 | — |
| -10.55% | 2025-12-03 | 2025-12-18 | 2026-01-27 | 11 | 25 |
| -8.03% | 2023-09-27 | 2023-10-04 | 2023-10-13 | 5 | 7 |
| -5.74% | 2026-02-09 | 2026-02-10 | 2026-02-27 | 1 | 12 |
| -4.99% | 2026-03-19 | 2026-03-23 | 2026-03-26 | 2 | 3 |
| -3.35% | 2026-04-06 | 2026-04-08 | 2026-04-16 | 2 | 6 |
| -3.12% | 2025-11-11 | 2025-11-25 | 2025-12-03 | 10 | 5 |
| -2.63% | 2026-02-04 | 2026-02-05 | 2026-02-09 | 1 | 2 |
| -2.53% | 2023-09-14 | 2023-09-21 | 2023-09-27 | 5 | 4 |
Worst depth first · lengths in trading days.
