From 679 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 22.95% | Sharpe | 1.03 |
| Sortino | 1.56 |
| Beta | 1.29 | Correlation | 0.90 |
| Up capture | 108.94% | Down capture | 133.17% |
| Max Drawdown | −25.01% | Ulcer Index | 6.23 |
| MTD | 4.97% | QTD | 1.08% |
| YTD | 3.08% | Window (ann., 3.0y) | 20.91% |
| Skewness | 0.74 | Excess Kurtosis | 9.33 |
| Omega (θ=0) | 1.21 | Tail Ratio | 0.91 |
| Gain/Pain | 0.21 | Hit Rate | 56.26% |
| Win/Loss | 0.92 | Upside Potential | 0.57 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.32% | -3.68% | -2.28% | -3.27% |
| CVaR (ES) | -3.18% | -4.70% | -2.89% | -3.76% |
| VaR (Cornish-Fisher) | — | — | -1.69% | -5.34% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -25.01% | 2025-02-14 | 2025-04-08 | 2025-07-28 | 36 | 36 |
| -19.12% | 2025-10-29 | 2026-03-30 | 2026-06-01 | 84 | 41 |
| -13.21% | 2024-07-10 | 2024-08-05 | 2024-09-25 | 18 | 36 |
| -11.52% | 2023-09-11 | 2023-10-26 | 2023-11-14 | 32 | 13 |
| -9.82% | 2026-06-01 | 2026-07-29 | ongoing | 35 | — |
| -7.75% | 2024-03-22 | 2024-04-19 | 2024-05-15 | 19 | 17 |
| -6.35% | 2024-12-16 | 2025-01-14 | 2025-02-06 | 18 | 16 |
| -4.13% | 2023-12-27 | 2024-01-04 | 2024-01-18 | 5 | 9 |
| -3.55% | 2025-10-08 | 2025-10-10 | 2025-10-24 | 2 | 10 |
| -3.32% | 2024-11-13 | 2024-11-15 | 2024-11-26 | 2 | 7 |
Worst depth first · lengths in trading days.
