From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 20.29% | Sharpe | −0.14 |
| Sortino | −0.19 |
| Beta | 0.50 | Correlation | 0.38 |
| Up capture | 27.16% | Down capture | 118.68% |
| Max Drawdown | −30.53% | Ulcer Index | 11.99 |
| MTD | 9.72% | QTD | 5.44% |
| YTD | −11.61% | Window (ann., 3.0y) | −4.67% |
| Skewness | 0.06 | Excess Kurtosis | 6.38 |
| Omega (θ=0) | 0.98 | Tail Ratio | 0.98 |
| Gain/Pain | −0.02 | Hit Rate | 48.27% |
| Win/Loss | 0.96 | Upside Potential | 0.47 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.94% | -3.56% | -2.11% | -2.99% |
| CVaR (ES) | -3.03% | -5.19% | -2.65% | -3.42% |
| VaR (Cornish-Fisher) | — | — | -1.93% | -4.83% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -30.53% | 2025-02-19 | 2026-07-23 | ongoing | 354 | — |
| -12.06% | 2024-07-30 | 2024-11-05 | 2025-02-12 | 69 | 66 |
| -5.62% | 2023-10-16 | 2023-10-27 | 2023-12-13 | 9 | 32 |
| -3.45% | 2024-01-26 | 2024-02-20 | 2024-04-03 | 16 | 30 |
| -2.55% | 2023-09-29 | 2023-10-05 | 2023-10-16 | 4 | 7 |
| -2.36% | 2024-04-03 | 2024-04-15 | 2024-04-22 | 8 | 5 |
| -1.91% | 2024-04-29 | 2024-06-26 | 2024-07-03 | 40 | 5 |
| -1.77% | 2023-12-19 | 2023-12-29 | 2024-01-22 | 7 | 14 |
| -1.53% | 2024-07-17 | 2024-07-19 | 2024-07-26 | 2 | 5 |
| -1.48% | 2023-08-30 | 2023-09-06 | 2023-09-12 | 4 | 4 |
Worst depth first · lengths in trading days.
