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notificationsaccount_circleMax Drawdown (Hist.)
-14.82%
Duration
142 Days
Recovery
58 Days
Status
COMPLETED
Tail Risk (VaR 99%)
-3.41%
Probability of loss exceeding 3.4% in a single day based on 5-yr backtest.
Expected Shortfall
-5.12%
Average loss in the worst 1% of scenarios (CVaR).
Underwater Drawdown Profile
Historical peak-to-trough analysis over the simulation period.
0%-5%-10%-15%
JAN 22JUL 22JAN 23JUL 23PRESENT
Avg. Drawdown
-2.4%
Ulcer Index
1.84
Recovery Factor
3.2x
verified_userTail Risk Summary
VaR 95% (Daily)
-1.22%
Conditional VaR
-2.88%
Kurtosis
4.82
Skewness
-0.45
Risk Constraints
- Leverage Cap2.0x
- Target Vol12.0%
- Concentration15% Max
Sharpe Ratio
1.84
Exceeds benchmark (1.20)
Rolling Volatility (90-Day)
Annualized Realized Vol
monitoring
20%15%10%5%