From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 34.01% | Sharpe | 1.23 |
| Sortino | 1.92 |
| Beta | 0.63 | Correlation | 0.29 |
| Up capture | 144.48% | Down capture | 7.88% |
| Max Drawdown | −27.57% | Ulcer Index | 10.62 |
| MTD | 5.10% | QTD | −1.53% |
| YTD | 25.59% | Window (ann., 3.0y) | 43.10% |
| Skewness | 0.26 | Excess Kurtosis | 2.27 |
| Omega (θ=0) | 1.24 | Tail Ratio | 1.21 |
| Gain/Pain | 0.24 | Hit Rate | 50.80% |
| Win/Loss | 1.19 | Upside Potential | 0.63 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.09% | -5.50% | -3.36% | -4.82% |
| CVaR (ES) | -4.46% | -6.69% | -4.25% | -5.54% |
| VaR (Cornish-Fisher) | — | — | -3.10% | -5.50% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -27.57% | 2025-09-18 | 2025-11-17 | 2026-01-15 | 42 | 40 |
| -26.41% | 2025-02-07 | 2025-06-04 | 2025-08-26 | 80 | 57 |
| -15.48% | 2024-01-30 | 2024-03-14 | 2024-05-21 | 31 | 47 |
| -15.31% | 2026-02-06 | 2026-03-06 | 2026-04-28 | 19 | 36 |
| -12.40% | 2024-07-26 | 2024-08-12 | 2024-09-24 | 11 | 30 |
| -11.88% | 2024-11-11 | 2024-12-27 | 2025-02-06 | 32 | 26 |
| -11.88% | 2026-07-01 | 2026-07-29 | ongoing | 19 | — |
| -10.84% | 2026-04-28 | 2026-05-15 | 2026-06-12 | 13 | 17 |
| -10.10% | 2024-05-22 | 2024-06-14 | 2024-07-11 | 16 | 17 |
| -9.87% | 2023-12-19 | 2024-01-12 | 2024-01-30 | 16 | 11 |
Worst depth first · lengths in trading days.
