From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 31.14% | Sharpe | 0.71 |
| Sortino | 1.01 |
| Beta | 0.90 | Correlation | 0.38 |
| Up capture | 103.82% | Down capture | 101.56% |
Relative Value shows 1.12 — five years of monthly returns, a fixed window (RV).
| Max Drawdown | −52.26% | Ulcer Index | 19.87 |
| MTD | 19.09% | QTD | 41.90% |
| YTD | −8.41% | Window (ann., 3.0y) | 18.48% |
| Skewness | −0.38 | Excess Kurtosis | 7.74 |
| Omega (θ=0) | 1.14 | Tail Ratio | 1.08 |
| Gain/Pain | 0.14 | Hit Rate | 52.80% |
| Win/Loss | 1.01 | Upside Potential | 0.53 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.81% | -5.05% | -3.14% | -4.48% |
| CVaR (ES) | -4.38% | -7.35% | -3.96% | -5.14% |
| VaR (Cornish-Fisher) | — | — | -3.04% | -8.47% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -52.26% | 2025-07-09 | 2026-07-23 | ongoing | 258 | — |
| -19.12% | 2025-02-13 | 2025-04-08 | 2025-05-02 | 37 | 17 |
| -10.82% | 2024-03-27 | 2024-04-19 | 2024-05-20 | 16 | 21 |
| -9.57% | 2023-08-30 | 2023-09-26 | 2023-11-07 | 18 | 30 |
| -7.74% | 2024-05-24 | 2024-05-30 | 2024-06-12 | 3 | 9 |
| -7.32% | 2024-07-23 | 2024-08-05 | 2024-08-15 | 9 | 8 |
| -7.27% | 2023-12-08 | 2024-01-04 | 2024-01-18 | 17 | 9 |
| -7.17% | 2025-06-06 | 2025-06-20 | 2025-07-09 | 9 | 12 |
| -5.78% | 2024-10-29 | 2024-11-15 | 2024-12-03 | 13 | 11 |
| -5.54% | 2024-09-24 | 2024-10-07 | 2024-10-14 | 9 | 5 |
Worst depth first · lengths in trading days.
