From 744 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 20369.70% | Sharpe | 1.43 |
| Sortino | 120.64 |
| Beta | −34.13 | Correlation | −0.08 |
| Up capture | 11242.04% | Down capture | −2291.94% |
| Max Drawdown | −100.00% | Ulcer Index | 80.49 |
| MTD | −97.32% | QTD | 175.00% |
| YTD | −56.00% | Window (ann., 3.0y) | −93.45% |
Price only — no dividends, so this understates total return.
| Skewness | 13.48 | Excess Kurtosis | 191.14 |
| Omega (θ=0) | 27.79 | Tail Ratio | 0.86 |
| Gain/Pain | 26.79 | Hit Rate | 31.45% |
| Win/Loss | 32.43 | Upside Potential | 7.88 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -18.10% | -96.38% | -1995.25% | -2869.72% |
| CVaR (ES) | -58.26% | -98.36% | -2531.43% | -3304.55% |
| VaR (Cornish-Fisher) | — | — | 12252.86% | 40289.87% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -100.00% | 2023-09-05 | 2026-06-15 | ongoing | 688 | — |
| -3.33% | 2023-08-22 | 2023-08-24 | 2023-08-31 | 2 | 5 |
| -2.27% | 2023-08-31 | 2023-09-01 | 2023-09-05 | 1 | 1 |
Worst depth first · lengths in trading days.
