From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 13.87% | Sharpe | 1.19 |
| Sortino | 1.72 |
| Beta | −0.13 | Correlation | −0.13 |
| Up capture | 47.70% | Down capture | −22.78% |
| Max Drawdown | −12.34% | Ulcer Index | 4.38 |
| MTD | 6.01% | QTD | 13.42% |
| YTD | 34.86% | Window (ann., 3.0y) | 16.66% |
| Skewness | −0.31 | Excess Kurtosis | 2.19 |
| Omega (θ=0) | 1.22 | Tail Ratio | 1.08 |
| Gain/Pain | 0.22 | Hit Rate | 54.27% |
| Win/Loss | 1.00 | Upside Potential | 0.60 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.29% | -2.11% | -1.37% | -1.97% |
| CVaR (ES) | -1.96% | -3.06% | -1.74% | -2.26% |
| VaR (Cornish-Fisher) | — | — | -1.41% | -2.58% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -12.34% | 2026-05-12 | 2026-06-24 | 2026-08-20 | 26 | 40 |
| -10.38% | 2023-09-14 | 2023-12-12 | 2024-04-05 | 62 | 78 |
| -10.36% | 2025-04-02 | 2025-04-08 | 2025-06-17 | 4 | 48 |
| -9.67% | 2024-05-28 | 2024-09-10 | 2025-01-10 | 72 | 84 |
| -7.91% | 2026-01-29 | 2026-02-17 | 2026-03-02 | 12 | 9 |
| -4.44% | 2025-06-18 | 2025-06-25 | 2025-09-02 | 4 | 47 |
| -4.25% | 2025-02-20 | 2025-03-03 | 2025-04-02 | 7 | 22 |
| -3.85% | 2025-12-05 | 2025-12-16 | 2026-01-06 | 7 | 13 |
| -3.67% | 2024-04-15 | 2024-05-02 | 2024-05-17 | 13 | 11 |
| -3.63% | 2026-03-12 | 2026-03-23 | 2026-03-30 | 7 | 5 |
Worst depth first · lengths in trading days.
