BALI☆

Return-based risk computed in the open analytics core (quantlib.risk) from 242 daily returns (trailing 1y window), annualized at 252/yr. Click any metric for its methodology.

Volatility & risk-adjusted return

vs S&P 500 · monthly, same window (12 months)

Standard monthly capture ratios over 12 paired month-end total returns vs SPY, computed over the same window as every metric above.

Drawdown

Trailing returns · total return (incl. dividends)

Return distribution

Volatility (annualized %, right) and Sharpe (ratio, left), each over a trailing 63-period window from quantlib.performance.rolling.

Tail risk — VaR / CVaR methodology →

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.

Drawdown episodes methodology →

Each peak-to-recovery underwater episode, worst depth first (top 10). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.