From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 27.68% | Sharpe | 0.44 |
| Sortino | 0.60 |
| Beta | −0.01 | Correlation | −0.01 |
| Up capture | 42.28% | Down capture | 25.31% |
| Max Drawdown | −29.44% | Ulcer Index | 11.56 |
| MTD | 4.87% | QTD | 15.67% |
| YTD | 32.84% | Window (ann., 3.0y) | 8.60% |
| Skewness | −0.56 | Excess Kurtosis | 5.22 |
| Omega (θ=0) | 1.08 | Tail Ratio | 0.89 |
| Gain/Pain | 0.08 | Hit Rate | 54.00% |
| Win/Loss | 0.89 | Upside Potential | 0.52 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.96% | -4.44% | -2.82% | -4.01% |
| CVaR (ES) | -4.10% | -6.66% | -3.55% | -4.60% |
| VaR (Cornish-Fisher) | — | — | -2.90% | -6.65% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -29.44% | 2024-04-10 | 2025-04-08 | 2026-02-19 | 249 | 217 |
| -19.67% | 2026-03-27 | 2026-07-01 | ongoing | 61 | — |
| -16.40% | 2023-10-19 | 2024-02-05 | 2024-03-27 | 73 | 36 |
| -10.38% | 2023-09-01 | 2023-10-04 | 2023-10-17 | 22 | 9 |
| -2.54% | 2026-02-20 | 2026-02-25 | 2026-02-27 | 3 | 2 |
| -2.51% | 2026-03-09 | 2026-03-10 | 2026-03-11 | 1 | 1 |
| -0.61% | 2026-03-20 | 2026-03-23 | 2026-03-24 | 1 | 1 |
| -0.38% | 2026-03-02 | 2026-03-04 | 2026-03-05 | 2 | 1 |
| -0.25% | 2024-04-05 | 2024-04-08 | 2024-04-09 | 1 | 1 |
| -0.21% | 2024-04-03 | 2024-04-04 | 2024-04-05 | 1 | 1 |
Worst depth first · lengths in trading days.
