From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 19.69% | Sharpe | 1.21 |
| Sortino | 1.78 |
| Beta | 1.28 | Correlation | 0.94 |
| Up capture | 113.96% | Down capture | 118.64% |
| Max Drawdown | −22.85% | Ulcer Index | 5.16 |
| MTD | 3.92% | QTD | 2.79% |
| YTD | 9.13% | Window (ann., 3.0y) | 24.20% |
| Skewness | 0.52 | Excess Kurtosis | 11.23 |
| Omega (θ=0) | 1.24 | Tail Ratio | 0.95 |
| Gain/Pain | 0.24 | Hit Rate | 57.07% |
| Win/Loss | 0.93 | Upside Potential | 0.58 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.96% | -3.33% | -1.95% | -2.79% |
| CVaR (ES) | -2.79% | -4.23% | -2.46% | -3.21% |
| VaR (Cornish-Fisher) | — | — | -1.48% | -5.45% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -22.85% | 2025-02-19 | 2025-04-08 | 2025-06-24 | 34 | 52 |
| -16.53% | 2025-10-29 | 2026-03-30 | 2026-05-05 | 103 | 25 |
| -12.98% | 2024-07-10 | 2024-08-05 | 2024-10-14 | 18 | 49 |
| -9.58% | 2023-09-05 | 2023-10-26 | 2023-11-14 | 37 | 13 |
| -9.00% | 2026-06-01 | 2026-07-29 | ongoing | 36 | — |
| -6.88% | 2024-03-22 | 2024-04-19 | 2024-05-15 | 19 | 18 |
| -5.55% | 2024-12-16 | 2025-01-14 | 2025-02-19 | 18 | 24 |
| -3.56% | 2023-12-28 | 2024-01-04 | 2024-01-11 | 4 | 5 |
| -3.42% | 2025-10-08 | 2025-10-10 | 2025-10-24 | 2 | 10 |
| -3.38% | 2024-10-29 | 2024-10-31 | 2024-11-06 | 2 | 4 |
Worst depth first · lengths in trading days.
