Return-based risk computed in the open analytics core (quantlib.risk) from 146 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 3.42% | Sharpe | 0.16 |
| Sortino | 0.22 |
Only 7 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −2.82% | Ulcer Index | 1.00 |
| MTD | −0.02% | QTD | −0.02% |
| YTD | 0.30% | Since inception | 0.28% |
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 | 0.35 | Excess Kurtosis | 6.69 |
| Omega (θ=0) | 1.03 | Tail Ratio | 0.67 |
| Gain/Pain | 0.03 | Hit Rate | 53.42% |
| Win/Loss | 0.82 | Upside Potential | 0.46 |
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 | -0.36% | -0.61% | -0.35% | -0.50% |
| CVaR (ES) | -0.54% | -0.71% | -0.44% | -0.57% |
| VaR (Cornish-Fisher) | — | — | -0.30% | -0.77% |
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 |
|---|---|---|---|---|---|
| -2.82% | 2026-02-24 | 2026-03-30 | ongoing | 24 | — |
| -0.54% | 2025-12-12 | 2025-12-16 | 2026-01-02 | 2 | 11 |
| -0.36% | 2026-01-16 | 2026-01-20 | 2026-01-26 | 1 | 4 |
| -0.28% | 2026-01-28 | 2026-01-29 | 2026-02-10 | 1 | 8 |
| -0.16% | 2026-02-11 | 2026-02-12 | 2026-02-17 | 1 | 2 |
| -0.04% | 2026-01-26 | 2026-01-27 | 2026-01-28 | 1 | 1 |
Each peak-to-recovery underwater episode, worst depth first (top 6). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
