From 749 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 12.21% | Sharpe | 0.99 |
| Sortino | 1.47 |
| Beta | 0.55 | Correlation | 0.58 |
| Up capture | 64.31% | Down capture | 74.97% |
| Max Drawdown | −14.39% | Ulcer Index | 3.75 |
| MTD | 1.61% | QTD | 3.50% |
| YTD | 14.61% | Window (ann., 3.0y) | 11.95% |
| Skewness | 0.06 | Excess Kurtosis | 5.96 |
| Omega (θ=0) | 1.18 | Tail Ratio | 1.04 |
| Gain/Pain | 0.18 | Hit Rate | 51.67% |
| Win/Loss | 1.08 | Upside Potential | 0.60 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.16% | -1.74% | -1.22% | -1.74% |
| CVaR (ES) | -1.64% | -2.49% | -1.54% | -2.00% |
| VaR (Cornish-Fisher) | — | — | -1.11% | -2.78% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -14.39% | 2024-11-29 | 2025-04-08 | 2025-08-13 | 87 | 87 |
| -9.57% | 2023-08-30 | 2023-10-27 | 2023-12-11 | 41 | 30 |
| -7.67% | 2026-02-27 | 2026-03-20 | 2026-07-02 | 15 | 66 |
| -5.06% | 2024-03-29 | 2024-04-16 | 2024-05-10 | 12 | 18 |
| -4.37% | 2024-05-17 | 2024-05-29 | 2024-07-16 | 7 | 32 |
| -4.31% | 2025-08-22 | 2025-11-20 | 2026-01-06 | 63 | 30 |
| -3.86% | 2024-10-18 | 2024-11-04 | 2024-11-27 | 11 | 17 |
| -2.55% | 2024-01-02 | 2024-01-24 | 2024-02-23 | 15 | 21 |
| -2.54% | 2024-07-31 | 2024-08-05 | 2024-08-15 | 3 | 8 |
| -2.33% | 2026-07-28 | 2026-07-31 | 2026-08-19 | 3 | 13 |
Worst depth first · lengths in trading days.
