From 751 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 21.83% | Sharpe | 0.80 |
| Sortino | 1.10 |
| Beta | −0.04 | Correlation | −0.02 |
| Up capture | 61.58% | Down capture | 16.21% |
| Max Drawdown | −20.14% | Ulcer Index | 7.69 |
| MTD | 5.26% | QTD | 18.02% |
| YTD | 42.13% | Window (ann., 3.0y) | 16.11% |
| Skewness | −0.70 | Excess Kurtosis | 5.53 |
| Omega (θ=0) | 1.15 | Tail Ratio | 1.00 |
| Gain/Pain | 0.15 | Hit Rate | 55.53% |
| Win/Loss | 0.90 | Upside Potential | 0.54 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.10% | -3.36% | -2.19% | -3.13% |
| CVaR (ES) | -3.16% | -5.28% | -2.77% | -3.60% |
| VaR (Cornish-Fisher) | — | — | -2.30% | -5.36% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -20.14% | 2024-11-22 | 2025-04-08 | 2026-01-05 | 91 | 186 |
| -14.98% | 2026-03-27 | 2026-07-01 | 2026-08-17 | 61 | 32 |
| -13.31% | 2024-04-05 | 2024-09-11 | 2024-11-21 | 109 | 51 |
| -12.95% | 2023-09-14 | 2024-01-18 | 2024-03-18 | 87 | 41 |
| -3.75% | 2026-01-05 | 2026-01-07 | 2026-01-13 | 2 | 4 |
| -2.65% | 2026-08-20 | 2026-08-25 | ongoing | 3 | — |
| -2.52% | 2026-03-02 | 2026-03-10 | 2026-03-12 | 6 | 2 |
| -2.24% | 2026-02-11 | 2026-02-17 | 2026-02-19 | 3 | 2 |
| -1.96% | 2026-01-30 | 2026-02-02 | 2026-02-03 | 1 | 1 |
| -1.31% | 2023-09-08 | 2023-09-11 | 2023-09-12 | 1 | 1 |
Worst depth first · lengths in trading days.
