From 753 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 39.19% | Sharpe | 0.61 |
| Sortino | 0.98 |
| Beta | −0.10 | Correlation | −0.04 |
| Up capture | 56.00% | Down capture | −51.25% |
| Max Drawdown | −41.48% | Ulcer Index | 18.61 |
| MTD | −2.05% | QTD | 12.39% |
| YTD | 71.87% | Window (ann., 3.0y) | 17.57% |
| Skewness | 1.64 | Excess Kurtosis | 20.24 |
| Omega (θ=0) | 1.18 | Tail Ratio | 1.02 |
| Gain/Pain | 0.18 | Hit Rate | 26.56% |
| Win/Loss | 1.12 | Upside Potential | 0.40 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.14% | -6.96% | -3.97% | -5.65% |
| CVaR (ES) | -5.52% | -10.10% | -5.00% | -6.49% |
| VaR (Cornish-Fisher) | — | — | -1.68% | -11.83% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -41.48% | 2024-12-02 | 2026-02-18 | 2026-07-01 | 302 | 92 |
| -24.26% | 2023-10-09 | 2023-11-27 | 2024-03-13 | 34 | 73 |
| -11.99% | 2024-07-31 | 2024-09-05 | 2024-09-30 | 25 | 17 |
| -8.98% | 2024-04-16 | 2024-06-04 | 2024-06-13 | 34 | 7 |
| -6.97% | 2026-07-06 | 2026-07-16 | 2026-07-31 | 8 | 11 |
| -6.91% | 2026-08-04 | 2026-08-11 | ongoing | 5 | — |
| -5.52% | 2024-03-15 | 2024-03-19 | 2024-04-10 | 2 | 15 |
| -4.69% | 2024-06-13 | 2024-06-18 | 2024-07-08 | 3 | 12 |
| -3.58% | 2024-10-17 | 2024-10-30 | 2024-11-07 | 9 | 6 |
| -3.28% | 2023-09-07 | 2023-09-08 | 2023-09-21 | 1 | 9 |
Worst depth first · lengths in trading days.
