From 741 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 1304313.46% | Sharpe | 0.88 |
| Sortino | 4911.30 |
| Beta | 8677.92 | Correlation | 0.20 |
| Up capture | 1166862.46% | Down capture | 1358.73% |
| Max Drawdown | −100.00% | Ulcer Index | 88.36 |
| MTD | 0.00% | QTD | 4900.00% |
| YTD | 4900.00% | Window (ann., 3.0y) | −88.75% |
Price only — no dividends, so this understates total return.
| Skewness | 21.22 | Excess Kurtosis | 477.69 |
| Omega (θ=0) | 1349.81 | Tail Ratio | 1.84 |
| Gain/Pain | 1348.81 | Hit Rate | 18.22% |
| Win/Loss | 1379.81 | Upside Potential | 309.61 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -10.38% | -98.91% | -130615.24% | -186609.55% |
| CVaR (ES) | -54.77% | -99.61% | -164948.23% | -214452.17% |
| VaR (Cornish-Fisher) | — | — | 1851720.78% | 5838867.69% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -100.00% | 2023-08-21 | 2024-08-02 | ongoing | 239 | — |
Worst depth first · lengths in trading days.
