From 753 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 2.36% | Sharpe | 2.33 |
| Sortino | 3.74 |
| Beta | 0.10 | Correlation | 0.51 |
| Up capture | 18.77% | Down capture | 2.36% |
| Max Drawdown | −1.37% | Ulcer Index | 0.42 |
| MTD | 0.24% | QTD | 0.21% |
| YTD | 1.04% | Window (ann., 3.0y) | 5.59% |
| Skewness | 0.10 | Excess Kurtosis | 2.43 |
| Omega (θ=0) | 1.48 | Tail Ratio | 1.14 |
| Gain/Pain | 0.48 | Hit Rate | 53.65% |
| Win/Loss | 1.18 | Upside Potential | 0.73 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -0.21% | -0.34% | -0.22% | -0.32% |
| CVaR (ES) | -0.30% | -0.47% | -0.28% | -0.37% |
| VaR (Cornish-Fisher) | — | — | -0.21% | -0.40% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -1.37% | 2026-02-27 | 2026-03-26 | 2026-06-26 | 19 | 63 |
| -1.29% | 2025-04-03 | 2025-04-11 | 2025-04-28 | 6 | 10 |
| -1.21% | 2024-09-24 | 2024-11-01 | 2025-01-28 | 28 | 57 |
| -1.17% | 2023-08-31 | 2023-10-18 | 2023-11-03 | 33 | 12 |
| -1.07% | 2024-03-27 | 2024-04-16 | 2024-05-03 | 13 | 13 |
| -0.86% | 2024-02-01 | 2024-02-13 | 2024-03-22 | 8 | 27 |
| -0.55% | 2025-04-30 | 2025-05-14 | 2025-05-27 | 10 | 8 |
| -0.50% | 2024-01-12 | 2024-01-19 | 2024-02-01 | 4 | 9 |
| -0.48% | 2026-07-06 | 2026-07-23 | 2026-08-04 | 13 | 8 |
| -0.47% | 2023-12-29 | 2024-01-05 | 2024-01-11 | 4 | 4 |
Worst depth first · lengths in trading days.
