From 750 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 16.37% | Sharpe | 1.11 |
| Sortino | 1.62 |
| Beta | 0.58 | Correlation | 0.66 |
| Up capture | 70.39% | Down capture | 35.68% |
| Max Drawdown | −17.37% | Ulcer Index | 4.18 |
| MTD | 3.47% | QTD | 1.84% |
| YTD | 13.76% | Window (ann., 3.0y) | 18.09% |
| Skewness | −0.02 | Excess Kurtosis | 4.35 |
| Omega (θ=0) | 1.21 | Tail Ratio | 1.06 |
| Gain/Pain | 0.21 | Hit Rate | 53.87% |
| Win/Loss | 1.03 | Upside Potential | 0.58 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -1.54% | -2.75% | -1.62% | -2.33% |
| CVaR (ES) | -2.31% | -3.67% | -2.06% | -2.68% |
| VaR (Cornish-Fisher) | — | — | -1.54% | -3.39% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -17.37% | 2024-10-07 | 2025-04-08 | 2025-06-09 | 125 | 42 |
| -10.74% | 2026-02-25 | 2026-03-30 | 2026-04-17 | 23 | 13 |
| -8.09% | 2024-07-12 | 2024-08-05 | 2024-09-23 | 16 | 34 |
| -7.58% | 2023-08-29 | 2023-10-26 | 2023-12-14 | 41 | 35 |
| -7.05% | 2026-06-22 | 2026-07-29 | ongoing | 26 | — |
| -5.16% | 2026-06-02 | 2026-06-05 | 2026-06-22 | 2 | 7 |
| -5.01% | 2023-12-29 | 2024-01-17 | 2024-02-20 | 11 | 23 |
| -4.84% | 2025-10-29 | 2025-11-21 | 2026-01-02 | 17 | 27 |
| -4.74% | 2026-05-06 | 2026-05-19 | 2026-06-02 | 9 | 9 |
| -4.59% | 2024-05-17 | 2024-06-04 | 2024-07-09 | 11 | 23 |
Worst depth first · lengths in trading days.
