EEX.WA PL Equity☆

Return-based risk computed in the open analytics core (quantlib.risk) from 675 daily returns (trailing 3y window), annualized at 252/yr. Click any metric for its methodology.

Volatility & risk-adjusted return

vs S&P 500 · monthly, same window (36 months)

Standard monthly capture ratios over 36 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.

Notes

• skewness: skewness is undefined when the variance (second central moment m2) is zero
• kurtosis: kurtosis is undefined when the variance (second central moment m2) is zero
• benchmark_correlation: correlation_to_benchmark is undefined: a series has zero variance (flat/degenerate denominator)
• sharpe_ratio: sharpe_ratio is undefined when the excess-return std is zero
• sortino_ratio: sortino_ratio is undefined when the downside deviation is zero
• var_cornish_fisher_95: insufficient data for a Cornish-Fisher estimate
• var_cornish_fisher_99: insufficient data for a Cornish-Fisher estimate
• omega_ratio: omega_ratio is undefined when the downside area (loss denominator) is zero
• tail_ratio: tail_ratio is undefined when the lower-quantile value (denominator) is zero
• gain_to_pain_ratio: gain_to_pain_ratio is undefined when there are no losing periods (zero pain)
• win_loss_ratio: win_loss_ratio is undefined without at least one win and one loss
• upside_potential_ratio: upside_potential_ratio is undefined when the downside deviation is zero