From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 18.24% | Sharpe | 0.23 |
| Sortino | 0.32 |
| Beta | 0.72 | Correlation | 0.53 |
| Up capture | 60.48% | Down capture | 148.88% |
| Max Drawdown | −26.64% | Ulcer Index | 9.48 |
| MTD | 5.10% | QTD | 11.70% |
| YTD | −11.13% | Window (ann., 3.0y) | 2.52% |
| Skewness | −0.07 | Excess Kurtosis | 3.89 |
| Omega (θ=0) | 1.04 | Tail Ratio | 0.96 |
| Gain/Pain | 0.04 | Hit Rate | 50.67% |
| Win/Loss | 0.99 | Upside Potential | 0.53 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.84% | -3.13% | -1.87% | -2.66% |
| CVaR (ES) | -2.64% | -4.01% | -2.35% | -3.05% |
| VaR (Cornish-Fisher) | — | — | -1.81% | -3.76% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -26.64% | 2025-02-05 | 2026-05-11 | ongoing | 316 | — |
| -16.15% | 2023-08-30 | 2023-10-30 | 2023-12-14 | 42 | 33 |
| -7.31% | 2024-03-07 | 2024-04-19 | 2024-08-30 | 30 | 92 |
| -5.05% | 2024-11-29 | 2024-12-18 | 2025-01-16 | 13 | 18 |
| -3.87% | 2024-09-16 | 2024-10-07 | 2024-10-18 | 15 | 9 |
| -3.61% | 2024-10-18 | 2024-10-31 | 2024-11-11 | 9 | 7 |
| -2.59% | 2023-12-28 | 2024-01-03 | 2024-01-08 | 3 | 3 |
| -2.33% | 2024-02-06 | 2024-02-13 | 2024-02-22 | 5 | 6 |
| -2.12% | 2024-01-22 | 2024-01-24 | 2024-01-29 | 2 | 3 |
| -2.00% | 2024-02-23 | 2024-02-29 | 2024-03-07 | 4 | 5 |
Worst depth first · lengths in trading days.
