From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 14.96% | Sharpe | 1.41 |
| Sortino | 2.09 |
| Beta | 1.00 | Correlation | 1.00 |
| Up capture | 100.38% | Down capture | 100.27% |
| Max Drawdown | −18.75% | Ulcer Index | 3.37 |
| MTD | 3.02% | QTD | 3.22% |
| YTD | 13.46% | Window (ann., 3.0y) | 21.84% |
| Skewness | 0.59 | Excess Kurtosis | 16.39 |
| Omega (θ=0) | 1.30 | Tail Ratio | 0.96 |
| Gain/Pain | 0.30 | Hit Rate | 57.33% |
| Win/Loss | 0.96 | Upside Potential | 0.58 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.43% | -2.29% | -1.47% | -2.11% |
| CVaR (ES) | -2.09% | -3.48% | -1.86% | -2.43% |
| VaR (Cornish-Fisher) | — | — | -0.99% | -5.19% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -18.75% | 2025-02-19 | 2025-04-08 | 2025-06-26 | 34 | 54 |
| -8.89% | 2026-01-28 | 2026-03-30 | 2026-04-14 | 42 | 10 |
| -8.64% | 2023-09-01 | 2023-10-27 | 2023-11-15 | 39 | 13 |
| -8.41% | 2024-07-16 | 2024-08-05 | 2024-09-19 | 14 | 32 |
| -5.36% | 2024-03-28 | 2024-04-19 | 2024-05-14 | 15 | 17 |
| -5.06% | 2025-10-29 | 2025-11-20 | 2025-12-10 | 16 | 13 |
| -4.17% | 2024-12-06 | 2025-01-10 | 2025-01-22 | 22 | 7 |
| -4.05% | 2026-06-02 | 2026-06-26 | 2026-08-03 | 14 | 25 |
| -2.99% | 2025-10-08 | 2025-10-10 | 2025-10-24 | 2 | 10 |
| -2.76% | 2024-10-18 | 2024-10-31 | 2024-11-06 | 9 | 4 |
Worst depth first · lengths in trading days.
