Risk
Cash-flow-adjusted return risk and position concentration through the latest close.
Portfolio drawdown
Distance below the previous high-water mark, calculated from cash-flow-adjusted daily returns.
Drawdown episode
Dates describe the deepest recorded peak-to-trough decline and subsequent recovery.
Position concentration
Gross absolute market exposure; short positions remain included.
Rolling return and risk
Trailing windows ending at the latest close; returns are compounded and risk measures use the available adjusted daily returns.
| Performance period | Period return | Annualized volatility | Sharpe ratio | Sortino ratio | Maximum drawdown | Return days |
|---|---|---|---|---|---|---|
| 1 month | −0.26% | 15.34% | -0.12 | -0.16 | −4.54% | 22 |
| 3 months | +5.54% | 11.02% | 2.01 | 2.85 | −4.54% | 63 |
| 6 months | +6.58% | 10.26% | 1.28 | 1.73 | −4.54% | 128 |
| 12 months | +12.85% | 9.52% | 1.31 | 1.81 | −4.54% | 253 |
Drawdown by period
Peak-to-trough declines recalculated independently within each reporting window.
| Performance period | Maximum drawdown | Current drawdown | Peak | Trough | Recovery |
|---|---|---|---|---|---|
| YTD | −4.54% | −4.54% | 2018-01-31 | 2018-02-07 | Not recovered |
| 1 year | −4.54% | −4.54% | 2018-01-31 | 2018-02-07 | Not recovered |
| 3 years | −11.83% | −4.54% | 2015-12-29 | 2016-02-08 | 2016-04-22 |
| Since inception | −11.83% | −4.54% | 2015-12-29 | 2016-02-08 | 2016-04-22 |
Annualized TWR and MWRR require at least 365 calendar days. Volatility uses 252 trading days. Full-history Sharpe, Sortino and Calmar use annualized TWR; rolling Sharpe and Sortino annualize the window's arithmetic mean daily return. All ratios use a disclosed 0% annual risk-free rate. Benchmark-relative metrics remain unavailable until a reviewed benchmark daily-return source is connected.