From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 19.50% | Sharpe | 1.30 |
| Sortino | 1.93 |
| Beta | 1.21 | Correlation | 0.94 |
| Up capture | 116.31% | Down capture | 107.32% |
| Max Drawdown | −22.15% | Ulcer Index | 4.62 |
| MTD | 3.53% | QTD | 1.81% |
| YTD | 13.80% | Window (ann., 3.0y) | 26.32% |
| Skewness | 0.46 | Excess Kurtosis | 10.51 |
| Omega (θ=0) | 1.26 | Tail Ratio | 1.01 |
| Gain/Pain | 0.26 | Hit Rate | 57.26% |
| Win/Loss | 0.93 | Upside Potential | 0.58 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.87% | -3.27% | -1.92% | -2.76% |
| CVaR (ES) | -2.78% | -4.22% | -2.43% | -3.17% |
| VaR (Cornish-Fisher) | — | — | -1.49% | -5.26% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -22.15% | 2025-02-19 | 2025-04-08 | 2025-06-24 | 34 | 52 |
| -13.75% | 2025-10-29 | 2026-03-30 | 2026-04-15 | 103 | 11 |
| -12.73% | 2024-07-10 | 2024-08-05 | 2024-10-14 | 18 | 49 |
| -8.71% | 2023-09-01 | 2023-10-27 | 2023-11-20 | 39 | 16 |
| -8.61% | 2026-06-01 | 2026-07-29 | 2026-08-04 | 37 | 4 |
| -6.85% | 2024-03-22 | 2024-04-19 | 2024-05-14 | 20 | 17 |
| -4.56% | 2024-12-16 | 2025-01-14 | 2025-01-22 | 18 | 5 |
| -3.95% | 2025-01-23 | 2025-01-27 | 2025-02-18 | 2 | 15 |
| -3.39% | 2024-10-29 | 2024-10-31 | 2024-11-06 | 2 | 4 |
| -3.36% | 2023-12-27 | 2024-01-04 | 2024-01-10 | 5 | 4 |
Worst depth first · lengths in trading days.
