From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 31.96% | Sharpe | 0.22 |
| Sortino | 0.31 |
| Beta | 0.66 | Correlation | 0.29 |
| Up capture | 56.82% | Down capture | 121.43% |
Relative Value shows 1.00 — five years of monthly returns, a fixed window (RV).
| Max Drawdown | −34.58% | Ulcer Index | 17.22 |
| MTD | −3.52% | QTD | −0.60% |
| YTD | −18.11% | Window (ann., 3.0y) | 1.83% |
| Skewness | −0.01 | Excess Kurtosis | 8.74 |
| Omega (θ=0) | 1.04 | Tail Ratio | 0.94 |
| Gain/Pain | 0.04 | Hit Rate | 52.40% |
| Win/Loss | 0.92 | Upside Potential | 0.50 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.93% | -5.20% | -3.28% | -4.66% |
| CVaR (ES) | -4.61% | -7.66% | -4.12% | -5.34% |
| VaR (Cornish-Fisher) | — | — | -2.94% | -8.79% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -34.58% | 2023-09-14 | 2024-08-05 | 2024-12-26 | 223 | 100 |
| -31.98% | 2026-01-16 | 2026-05-22 | ongoing | 87 | — |
| -21.36% | 2025-02-14 | 2025-04-08 | 2025-06-02 | 36 | 37 |
| -14.12% | 2025-07-08 | 2025-11-18 | 2025-12-19 | 94 | 22 |
| -9.02% | 2024-12-31 | 2025-02-03 | 2025-02-14 | 21 | 9 |
| -4.24% | 2025-06-12 | 2025-06-20 | 2025-06-27 | 5 | 5 |
| -3.31% | 2025-12-24 | 2025-12-31 | 2026-01-05 | 4 | 2 |
| -2.90% | 2025-06-02 | 2025-06-03 | 2025-06-09 | 1 | 4 |
| -2.01% | 2023-09-05 | 2023-09-08 | 2023-09-12 | 3 | 2 |
| -1.49% | 2026-01-06 | 2026-01-07 | 2026-01-08 | 1 | 1 |
Worst depth first · lengths in trading days.
