From 692 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 17.71% | Sharpe | 0.87 |
| Sortino | 1.33 |
| Beta | 1.05 | Correlation | 0.82 |
| Up capture | 82.00% | Down capture | 114.54% |
| Max Drawdown | −21.40% | Ulcer Index | 4.96 |
| MTD | 4.44% | QTD | −1.80% |
| YTD | 15.24% | Window (ann., 3.0y) | 13.56% |
| Skewness | 0.46 | Excess Kurtosis | 4.20 |
| Omega (θ=0) | 1.16 | Tail Ratio | 1.08 |
| Gain/Pain | 0.16 | Hit Rate | 51.59% |
| Win/Loss | 1.07 | Upside Potential | 0.60 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.62% | -2.64% | -1.77% | -2.53% |
| CVaR (ES) | -2.35% | -3.33% | -2.24% | -2.91% |
| VaR (Cornish-Fisher) | — | — | -1.53% | -3.16% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -21.40% | 2024-12-04 | 2025-04-08 | 2025-07-28 | 84 | 36 |
| -12.81% | 2023-09-01 | 2023-10-27 | 2023-12-13 | 38 | 32 |
| -11.83% | 2026-02-26 | 2026-03-30 | 2026-04-17 | 20 | 12 |
| -9.48% | 2024-07-16 | 2024-08-05 | 2024-09-19 | 14 | 32 |
| -8.75% | 2026-06-30 | 2026-07-29 | ongoing | 18 | — |
| -6.93% | 2024-03-28 | 2024-04-19 | 2024-07-12 | 15 | 56 |
| -6.40% | 2025-10-27 | 2025-11-20 | 2025-12-10 | 16 | 13 |
| -4.96% | 2023-12-27 | 2024-01-17 | 2024-02-15 | 13 | 21 |
| -4.83% | 2026-05-06 | 2026-05-19 | 2026-05-26 | 9 | 4 |
| -4.20% | 2024-11-11 | 2024-11-15 | 2024-11-25 | 4 | 6 |
Worst depth first · lengths in trading days.
