From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 45.71% | Sharpe | 0.36 |
| Sortino | 0.52 |
| Beta | −0.11 | Correlation | −0.04 |
| Up capture | 10.12% | Down capture | −83.21% |
| Max Drawdown | −60.11% | Ulcer Index | 34.17 |
| MTD | 1.30% | QTD | −0.59% |
| YTD | −6.28% | Window (ann., 3.0y) | 6.22% |
| Skewness | 0.16 | Excess Kurtosis | 7.48 |
| Omega (θ=0) | 1.08 | Tail Ratio | 1.05 |
| Gain/Pain | 0.08 | Hit Rate | 45.14% |
| Win/Loss | 1.01 | Upside Potential | 0.47 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.98% | -10.47% | -4.67% | -6.63% |
| CVaR (ES) | -7.13% | -11.72% | -5.87% | -7.61% |
| VaR (Cornish-Fisher) | — | — | -4.10% | -11.30% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -60.11% | 2025-02-20 | 2026-02-05 | ongoing | 241 | — |
| -22.08% | 2024-06-03 | 2024-07-01 | 2024-08-14 | 19 | 31 |
| -15.35% | 2024-08-27 | 2024-10-30 | 2024-12-09 | 45 | 27 |
| -13.16% | 2024-12-16 | 2024-12-23 | 2024-12-30 | 5 | 4 |
| -7.84% | 2023-09-14 | 2023-11-13 | 2023-12-08 | 42 | 18 |
| -7.09% | 2023-12-28 | 2024-01-02 | 2024-03-07 | 2 | 45 |
| -5.83% | 2024-05-14 | 2024-05-16 | 2024-05-23 | 2 | 5 |
| -4.53% | 2025-01-24 | 2025-01-29 | 2025-02-05 | 3 | 5 |
| -4.46% | 2023-12-14 | 2023-12-22 | 2023-12-28 | 6 | 3 |
| -3.80% | 2024-12-30 | 2025-01-02 | 2025-01-06 | 2 | 2 |
Worst depth first · lengths in trading days.
