From 752 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 21.58% | Sharpe | −0.06 |
| Sortino | −0.09 |
| Beta | 0.12 | Correlation | 0.07 |
| Up capture | −14.01% | Down capture | −30.69% |
| Max Drawdown | −31.89% | Ulcer Index | 14.84 |
| MTD | −2.66% | QTD | −5.26% |
| YTD | 2.54% | Window (ann., 3.0y) | −3.64% |
| Skewness | 0.28 | Excess Kurtosis | 5.47 |
| Omega (θ=0) | 0.99 | Tail Ratio | 1.06 |
| Gain/Pain | −0.01 | Hit Rate | 48.94% |
| Win/Loss | 1.02 | Upside Potential | 0.51 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.97% | -3.44% | -2.24% | -3.17% |
| CVaR (ES) | -3.00% | -5.04% | -2.81% | -3.63% |
| VaR (Cornish-Fisher) | — | — | -1.98% | -4.58% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -31.89% | 2023-08-29 | 2025-01-15 | ongoing | 346 | — |
Worst depth first · lengths in trading days.
