From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 98.59% | Sharpe | 0.43 |
| Sortino | 0.69 |
| Beta | −0.95 | Correlation | −0.18 |
| Up capture | 24.63% | Down capture | −168.08% |
| Max Drawdown | −81.74% | Ulcer Index | 44.38 |
| MTD | 0.00% | QTD | −1.64% |
| YTD | 39.53% | Window (ann., 3.0y) | −5.06% |
| Skewness | 2.41 | Excess Kurtosis | 43.15 |
| Omega (θ=0) | 1.23 | Tail Ratio | 1.19 |
| Gain/Pain | 0.23 | Hit Rate | 11.45% |
| Win/Loss | 1.02 | Upside Potential | 0.23 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.18% | -17.75% | -10.05% | -14.28% |
| CVaR (ES) | -13.14% | -30.21% | -12.64% | -16.39% |
| VaR (Cornish-Fisher) | — | — | 0.29% | -52.38% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -81.74% | 2024-08-26 | 2025-09-12 | ongoing | 262 | — |
| -37.39% | 2024-06-21 | 2024-06-24 | 2024-08-23 | 1 | 43 |
| -24.24% | 2023-10-02 | 2023-12-28 | 2024-01-12 | 61 | 10 |
| -20.11% | 2023-08-21 | 2023-08-28 | 2023-09-08 | 5 | 8 |
| -20.00% | 2024-01-12 | 2024-01-16 | 2024-04-16 | 1 | 63 |
| -9.57% | 2024-06-04 | 2024-06-05 | 2024-06-21 | 1 | 11 |
| -4.55% | 2024-04-19 | 2024-04-22 | 2024-06-04 | 1 | 30 |
| -3.75% | 2023-09-13 | 2023-09-14 | 2023-09-20 | 1 | 4 |
Worst depth first · lengths in trading days.
