From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 12.23% | Sharpe | 1.33 |
| Sortino | 1.99 |
| Beta | 0.74 | Correlation | 0.91 |
| Up capture | 78.99% | Down capture | 80.23% |
| Max Drawdown | −14.95% | Ulcer Index | 2.77 |
| MTD | 1.63% | QTD | 2.73% |
| YTD | 11.50% | Window (ann., 3.0y) | 16.64% |
| Skewness | 0.37 | Excess Kurtosis | 15.36 |
| Omega (θ=0) | 1.27 | Tail Ratio | 1.02 |
| Gain/Pain | 0.27 | Hit Rate | 54.27% |
| Win/Loss | 1.06 | Upside Potential | 0.59 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.08% | -1.75% | -1.20% | -1.73% |
| CVaR (ES) | -1.64% | -2.85% | -1.52% | -1.99% |
| VaR (Cornish-Fisher) | — | — | -0.88% | -4.24% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -14.95% | 2025-02-19 | 2025-04-08 | 2025-06-30 | 34 | 56 |
| -7.91% | 2026-02-09 | 2026-03-30 | 2026-05-05 | 34 | 25 |
| -7.86% | 2023-08-30 | 2023-10-27 | 2023-11-22 | 41 | 18 |
| -5.36% | 2024-11-29 | 2025-01-10 | 2025-02-05 | 27 | 17 |
| -5.08% | 2024-03-29 | 2024-04-17 | 2024-05-15 | 13 | 20 |
| -4.56% | 2024-07-16 | 2024-08-05 | 2024-08-15 | 14 | 8 |
| -3.64% | 2024-10-18 | 2024-10-31 | 2024-11-07 | 9 | 5 |
| -3.20% | 2025-11-12 | 2025-11-20 | 2025-11-26 | 6 | 4 |
| -3.02% | 2024-05-17 | 2024-05-29 | 2024-06-17 | 7 | 13 |
| -2.89% | 2024-08-30 | 2024-09-06 | 2024-09-16 | 4 | 6 |
Worst depth first · lengths in trading days.
