Return-based risk computed in the open analytics core (quantlib.risk) from 200 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 6.46% | Sharpe | −3.27 |
| Sortino | −3.26 |
Only 10 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −15.95% | Ulcer Index | 9.10 |
| MTD | −1.96% | QTD | −1.96% |
| YTD | −12.00% | Since inception | −15.60% |
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 | −3.77 | Excess Kurtosis | 13.37 |
| Omega (θ=0) | 0.33 | Tail Ratio | 0.45 |
| Gain/Pain | −0.67 | Hit Rate | 48.50% |
| Win/Loss | 0.34 | Upside Potential | 0.10 |
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 | -0.37% | -1.87% | -0.75% | -1.03% |
| CVaR (ES) | -1.80% | -1.96% | -0.92% | -1.17% |
| VaR (Cornish-Fisher) | — | — | -0.97% | -1.25% |
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 |
|---|---|---|---|---|---|
| -15.95% | 2025-10-01 | 2026-07-23 | ongoing | 192 | — |
| -0.10% | 2025-09-24 | 2025-09-25 | 2025-09-30 | 1 | 3 |
Each peak-to-recovery underwater episode, worst depth first (top 2). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
