From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 20.53% | Sharpe | −0.45 |
| Sortino | −0.60 |
| Beta | 0.55 | Correlation | 0.34 |
| Up capture | 7.05% | Down capture | 127.98% |
Relative Value shows 0.67 — five years of monthly returns, a fixed window (RV).
| Max Drawdown | −39.62% | Ulcer Index | 14.75 |
| MTD | 3.56% | QTD | −6.34% |
| YTD | −23.10% | Window (ann., 3.0y) | −10.71% |
| Skewness | −0.85 | Excess Kurtosis | 10.00 |
| Omega (θ=0) | 0.92 | Tail Ratio | 0.88 |
| Gain/Pain | −0.08 | Hit Rate | 47.80% |
| Win/Loss | 0.96 | Upside Potential | 0.44 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.03% | -3.19% | -2.16% | -3.05% |
| CVaR (ES) | -3.08% | -5.25% | -2.71% | -3.48% |
| VaR (Cornish-Fisher) | — | — | -2.20% | -6.53% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -39.62% | 2023-12-07 | 2026-08-12 | ongoing | 668 | — |
| -10.29% | 2023-08-30 | 2023-10-02 | 2023-11-03 | 22 | 24 |
| -2.87% | 2023-11-03 | 2023-11-10 | 2023-11-15 | 5 | 3 |
| -1.85% | 2023-11-15 | 2023-11-29 | 2023-11-30 | 9 | 1 |
| -0.94% | 2023-08-21 | 2023-08-22 | 2023-08-24 | 1 | 2 |
| -0.16% | 2023-12-04 | 2023-12-05 | 2023-12-06 | 1 | 1 |
Worst depth first · lengths in trading days.
