From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 29.02% | Sharpe | 0.81 |
| Sortino | 1.17 |
| Beta | 0.77 | Correlation | 0.32 |
| Up capture | 92.64% | Down capture | 21.45% |
Relative Value shows 0.80 — five years of monthly returns, a fixed window (RV).
| Max Drawdown | −29.77% | Ulcer Index | 11.31 |
| MTD | −8.15% | QTD | −5.10% |
| YTD | 39.66% | Window (ann., 3.0y) | 21.02% |
| Skewness | −0.14 | Excess Kurtosis | 4.19 |
| Omega (θ=0) | 1.15 | Tail Ratio | 1.06 |
| Gain/Pain | 0.15 | Hit Rate | 52.80% |
| Win/Loss | 1.02 | Upside Potential | 0.56 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.57% | -5.17% | -2.91% | -4.16% |
| CVaR (ES) | -4.09% | -7.04% | -3.68% | -4.78% |
| VaR (Cornish-Fisher) | — | — | -2.83% | -6.12% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -29.77% | 2024-04-03 | 2024-08-20 | 2024-12-03 | 96 | 73 |
| -23.76% | 2025-03-25 | 2025-04-08 | 2025-10-30 | 10 | 142 |
| -17.81% | 2026-06-03 | 2026-08-13 | ongoing | 46 | — |
| -12.07% | 2023-12-27 | 2024-01-17 | 2024-02-23 | 13 | 26 |
| -10.20% | 2025-02-10 | 2025-03-10 | 2025-03-19 | 19 | 7 |
| -10.02% | 2023-08-21 | 2023-10-04 | 2023-10-17 | 31 | 9 |
| -8.66% | 2025-12-04 | 2025-12-19 | 2026-01-13 | 11 | 15 |
| -7.73% | 2026-04-30 | 2026-05-07 | 2026-05-26 | 5 | 12 |
| -6.87% | 2023-10-17 | 2023-10-31 | 2023-11-02 | 10 | 2 |
| -5.88% | 2023-11-06 | 2023-12-12 | 2023-12-19 | 25 | 5 |
Worst depth first · lengths in trading days.
