From 749 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 21.60% | Sharpe | 0.00 |
| Sortino | 0.00 |
| Beta | 0.42 | Correlation | 0.33 |
| Up capture | 17.35% | Down capture | 71.86% |
| Max Drawdown | −33.94% | Ulcer Index | 18.92 |
| MTD | 11.89% | QTD | 8.79% |
| YTD | 5.77% | Window (ann., 3.0y) | −2.28% |
| Skewness | −0.72 | Excess Kurtosis | 6.08 |
| Omega (θ=0) | 1.00 | Tail Ratio | 0.95 |
| Gain/Pain | 0.00 | Hit Rate | 51.94% |
| Win/Loss | 0.87 | Upside Potential | 0.47 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.05% | -4.54% | -2.24% | -3.17% |
| CVaR (ES) | -3.40% | -5.94% | -2.81% | -3.63% |
| VaR (Cornish-Fisher) | — | — | -2.34% | -5.55% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -33.94% | 2024-01-26 | 2026-03-13 | ongoing | 533 | — |
| -8.17% | 2023-09-18 | 2023-10-27 | 2023-12-08 | 29 | 29 |
| -1.78% | 2023-09-01 | 2023-09-06 | 2023-09-08 | 2 | 2 |
| -1.59% | 2023-12-28 | 2024-01-02 | 2024-01-04 | 2 | 2 |
| -1.53% | 2023-08-21 | 2023-08-22 | 2023-08-28 | 1 | 4 |
| -0.80% | 2023-09-13 | 2023-09-14 | 2023-09-15 | 1 | 1 |
| -0.60% | 2024-01-23 | 2024-01-24 | 2024-01-26 | 1 | 2 |
| -0.56% | 2024-01-12 | 2024-01-16 | 2024-01-17 | 1 | 1 |
| -0.48% | 2024-01-04 | 2024-01-05 | 2024-01-10 | 1 | 3 |
| -0.44% | 2023-12-18 | 2023-12-20 | 2023-12-21 | 2 | 1 |
Worst depth first · lengths in trading days.
