Return-based risk computed in the open analytics core (quantlib.risk) from 167 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 48.84% | Sharpe | −0.02 |
| Sortino | −0.03 |
Only 8 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −29.09% | Ulcer Index | 16.05 |
| MTD | −3.50% | QTD | −3.50% |
| YTD | 11.24% | Since inception | −8.69% |
Price-return basis — dividends aren't included for this symbol yet. Re-pull prices to populate the adjusted close and switch to total return.
| Skewness | −2.55 | Excess Kurtosis | 16.08 |
| Omega (θ=0) | 1.00 | Tail Ratio | 1.01 |
| Gain/Pain | −0.00 | Hit Rate | 50.90% |
| Win/Loss | 0.95 | Upside Potential | 0.42 |
Volatility (annualized %, right) and Sharpe (ratio, left), each over a trailing 63-period window from quantlib.performance.rolling.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.94% | -7.94% | -5.07% | -7.16% |
| CVaR (ES) | -8.11% | -15.62% | -6.35% | -8.21% |
| VaR (Cornish-Fisher) | — | — | -5.92% | -16.97% |
Signed daily quantiles (a 5% loss is −5%); CVaR ≤ VaR ≤ 0. The Cornish-Fisher row adjusts the Gaussian VaR for skewness and excess kurtosis (fat tails), so it has no historical counterpart.
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -29.09% | 2025-12-04 | 2025-12-22 | 2026-04-09 | 12 | 73 |
| -27.85% | 2026-04-14 | 2026-07-16 | ongoing | 54 | — |
| -5.68% | 2025-11-14 | 2025-11-20 | 2025-11-26 | 4 | 4 |
| -2.85% | 2025-11-26 | 2025-12-01 | 2025-12-02 | 2 | 1 |
| -0.26% | 2025-11-12 | 2025-11-13 | 2025-11-14 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 5). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
