From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 27.12% | Sharpe | 0.57 |
| Sortino | 0.91 |
| Beta | 0.38 | Correlation | 0.23 |
| Up capture | 51.28% | Down capture | 3.80% |
| Max Drawdown | −29.57% | Ulcer Index | 12.17 |
| MTD | 19.09% | QTD | 20.38% |
| YTD | 16.14% | Window (ann., 3.0y) | 12.49% |
| Skewness | 0.94 | Excess Kurtosis | 8.17 |
| Omega (θ=0) | 1.13 | Tail Ratio | 1.10 |
| Gain/Pain | 0.13 | Hit Rate | 35.69% |
| Win/Loss | 1.20 | Upside Potential | 0.49 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.34% | -4.50% | -2.75% | -3.91% |
| CVaR (ES) | -3.62% | -6.03% | -3.46% | -4.49% |
| VaR (Cornish-Fisher) | — | — | -1.98% | -5.44% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -29.57% | 2025-03-05 | 2026-04-02 | ongoing | 271 | — |
| -9.05% | 2023-08-23 | 2023-10-20 | 2023-12-26 | 41 | 45 |
| -6.45% | 2024-10-23 | 2024-11-15 | 2024-12-19 | 17 | 23 |
| -5.92% | 2024-07-29 | 2024-08-05 | 2024-09-20 | 5 | 33 |
| -5.90% | 2024-12-26 | 2025-02-06 | 2025-02-18 | 27 | 7 |
| -5.47% | 2024-02-28 | 2024-04-16 | 2024-05-10 | 33 | 18 |
| -3.94% | 2024-01-09 | 2024-01-11 | 2024-01-18 | 2 | 4 |
| -3.04% | 2024-09-20 | 2024-09-24 | 2024-10-11 | 2 | 13 |
| -2.84% | 2024-05-10 | 2024-05-17 | 2024-05-24 | 5 | 5 |
| -2.83% | 2024-01-29 | 2024-02-26 | 2024-02-28 | 19 | 2 |
Worst depth first · lengths in trading days.
