From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 12.76% | Sharpe | 0.73 |
| Sortino | 1.08 |
| Beta | 0.40 | Correlation | 0.43 |
| Up capture | 43.30% | Down capture | 38.95% |
| Max Drawdown | −9.28% | Ulcer Index | 3.76 |
| MTD | −0.03% | QTD | 2.16% |
| YTD | 10.24% | Window (ann., 3.0y) | 8.83% |
| Skewness | 0.09 | Excess Kurtosis | 2.04 |
| Omega (θ=0) | 1.13 | Tail Ratio | 1.05 |
| Gain/Pain | 0.13 | Hit Rate | 52.53% |
| Win/Loss | 1.01 | Upside Potential | 0.60 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.25% | -1.94% | -1.29% | -1.83% |
| CVaR (ES) | -1.65% | -2.32% | -1.62% | -2.11% |
| VaR (Cornish-Fisher) | — | — | -1.23% | -2.16% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -9.28% | 2026-02-27 | 2026-03-20 | ongoing | 15 | — |
| -8.91% | 2025-02-25 | 2025-04-08 | 2025-08-19 | 30 | 91 |
| -8.84% | 2023-08-30 | 2023-10-12 | 2023-12-27 | 30 | 53 |
| -7.75% | 2025-08-20 | 2025-11-06 | 2026-01-14 | 55 | 46 |
| -7.13% | 2024-11-29 | 2025-01-15 | 2025-02-13 | 30 | 20 |
| -4.69% | 2024-03-28 | 2024-04-15 | 2024-05-07 | 11 | 16 |
| -3.61% | 2024-09-16 | 2024-10-31 | 2024-11-22 | 33 | 16 |
| -3.25% | 2024-05-16 | 2024-05-29 | 2024-07-17 | 8 | 33 |
| -2.06% | 2026-02-13 | 2026-02-19 | 2026-02-24 | 3 | 3 |
| -1.97% | 2024-08-02 | 2024-08-05 | 2024-08-14 | 1 | 7 |
Worst depth first · lengths in trading days.
