From 743 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 161.49% | Sharpe | 0.52 |
| Sortino | 1.11 |
| Beta | 0.07 | Correlation | 0.01 |
| Up capture | 98.46% | Down capture | −62.82% |
| Max Drawdown | −69.94% | Ulcer Index | 36.61 |
| MTD | 1.52% | QTD | −33.00% |
| YTD | 1.52% | Window (ann., 3.0y) | −12.39% |
| Skewness | 8.44 | Excess Kurtosis | 133.55 |
| Omega (θ=0) | 1.28 | Tail Ratio | 1.16 |
| Gain/Pain | 0.28 | Hit Rate | 20.46% |
| Win/Loss | 1.22 | Upside Potential | 0.32 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -6.39% | -26.26% | -16.40% | -23.33% |
| CVaR (ES) | -17.61% | -35.85% | -20.65% | -26.78% |
| VaR (Cornish-Fisher) | — | — | 49.04% | -5.05% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -69.94% | 2023-08-24 | 2023-11-16 | 2024-03-13 | 59 | 76 |
| -66.62% | 2025-07-03 | 2026-06-02 | ongoing | 227 | — |
| -38.22% | 2024-06-12 | 2025-06-18 | 2025-06-30 | 251 | 7 |
| -21.15% | 2024-03-13 | 2024-03-19 | 2024-04-25 | 4 | 26 |
| -9.09% | 2024-04-25 | 2024-04-29 | 2024-06-05 | 2 | 25 |
| -0.80% | 2023-08-21 | 2023-08-23 | 2023-08-24 | 2 | 1 |
Worst depth first · lengths in trading days.
