From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 32.49% | Sharpe | −0.31 |
| Sortino | −0.39 |
| Beta | 0.85 | Correlation | 0.36 |
| Up capture | 31.79% | Down capture | 205.83% |
| Max Drawdown | −59.51% | Ulcer Index | 30.40 |
| MTD | 13.62% | QTD | 3.77% |
| YTD | −16.29% | Window (ann., 3.0y) | −14.32% |
| Skewness | −2.78 | Excess Kurtosis | 29.97 |
| Omega (θ=0) | 0.94 | Tail Ratio | 0.96 |
| Gain/Pain | −0.06 | Hit Rate | 50.27% |
| Win/Loss | 0.84 | Upside Potential | 0.36 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.74% | -5.81% | -3.41% | -4.80% |
| CVaR (ES) | -5.32% | -10.60% | -4.26% | -5.49% |
| VaR (Cornish-Fisher) | — | — | -3.49% | -17.37% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -59.51% | 2024-01-12 | 2026-04-27 | ongoing | 572 | — |
| -11.71% | 2023-10-16 | 2023-10-27 | 2023-11-14 | 9 | 12 |
| -6.02% | 2023-09-14 | 2023-09-26 | 2023-10-09 | 8 | 9 |
| -2.36% | 2023-11-14 | 2023-11-16 | 2023-11-22 | 2 | 4 |
| -2.35% | 2024-01-05 | 2024-01-09 | 2024-01-12 | 2 | 3 |
| -2.33% | 2023-09-01 | 2023-09-07 | 2023-09-13 | 3 | 4 |
| -2.01% | 2023-12-28 | 2023-12-29 | 2024-01-04 | 1 | 3 |
| -1.61% | 2023-10-11 | 2023-10-13 | 2023-10-16 | 2 | 1 |
| -1.59% | 2023-08-23 | 2023-08-24 | 2023-08-29 | 1 | 3 |
| -1.51% | 2023-08-21 | 2023-08-22 | 2023-08-23 | 1 | 1 |
Worst depth first · lengths in trading days.
