Return-based risk computed in the open analytics core (quantlib.risk) from 79 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 4.25% | Sharpe | −0.45 |
| Sortino | −0.60 |
Only 4 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −1.80% | Ulcer Index | 0.94 |
| MTD | −0.41% | QTD | −0.41% |
| YTD | −0.62% | Since inception | −0.62% |
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 | −0.32 | Excess Kurtosis | 0.15 |
| Omega (θ=0) | 0.93 | Tail Ratio | 1.07 |
| Gain/Pain | −0.07 | Hit Rate | 50.63% |
| Win/Loss | 0.91 | Upside Potential | 0.51 |
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 | -0.43% | -0.68% | -0.45% | -0.63% |
| CVaR (ES) | -0.64% | -0.73% | -0.56% | -0.72% |
| VaR (Cornish-Fisher) | — | — | -0.47% | -0.69% |
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 |
|---|---|---|---|---|---|
| -1.80% | 2026-04-20 | 2026-07-23 | ongoing | 55 | — |
| -0.93% | 2026-03-19 | 2026-03-27 | 2026-04-02 | 6 | 4 |
| -0.20% | 2026-04-15 | 2026-04-16 | 2026-04-17 | 1 | 1 |
| -0.16% | 2026-04-09 | 2026-04-10 | 2026-04-13 | 1 | 1 |
| -0.01% | 2026-04-02 | 2026-04-06 | 2026-04-07 | 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.
