From 749 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 4.60% | Sharpe | 0.93 |
| Sortino | 1.35 |
| Beta | 0.16 | Correlation | 0.51 |
| Up capture | 19.40% | Down capture | 17.94% |
| Max Drawdown | −4.00% | Ulcer Index | 1.26 |
| MTD | 0.22% | QTD | −0.50% |
| YTD | 0.76% | Window (ann., 3.0y) | 4.21% |
| Skewness | −0.14 | Excess Kurtosis | 1.42 |
| Omega (θ=0) | 1.16 | Tail Ratio | 1.01 |
| Gain/Pain | 0.16 | Hit Rate | 51.94% |
| Win/Loss | 1.00 | Upside Potential | 0.60 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -0.45% | -0.76% | -0.46% | -0.66% |
| CVaR (ES) | -0.65% | -0.93% | -0.58% | -0.75% |
| VaR (Cornish-Fisher) | — | — | -0.46% | -0.78% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -4.00% | 2024-09-24 | 2024-12-19 | 2025-02-28 | 61 | 46 |
| -3.23% | 2023-08-31 | 2023-10-06 | 2023-11-29 | 25 | 37 |
| -2.78% | 2025-04-03 | 2025-04-11 | 2025-07-21 | 6 | 67 |
| -2.32% | 2024-02-01 | 2024-04-16 | 2024-06-04 | 51 | 34 |
| -1.93% | 2026-02-27 | 2026-03-27 | 2026-05-01 | 20 | 24 |
| -1.45% | 2026-05-08 | 2026-07-27 | ongoing | 49 | — |
| -1.34% | 2023-12-27 | 2024-01-24 | 2024-02-01 | 18 | 6 |
| -1.24% | 2025-10-22 | 2025-12-09 | 2026-02-12 | 33 | 44 |
| -1.16% | 2025-03-03 | 2025-03-14 | 2025-03-28 | 9 | 10 |
| -1.02% | 2024-06-05 | 2024-06-10 | 2024-06-18 | 3 | 6 |
Worst depth first · lengths in trading days.
