IWSY☆

Return-based risk computed in the open analytics core (quantlib.risk) from 623 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 (32 months)

Standard monthly capture ratios over 32 paired month-end total returns vs SPY, computed over the same window as every metric above.

Drawdown

Trailing returns · price return

Price-return basis — dividends aren't included for this symbol yet. Re-pull prices to populate the adjusted close and switch to total return.

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 1). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.

Notes

• returns: price-return basis — no adjusted close is stored for this symbol, so dividends are not included (re-pull prices to enable total return)
• tail_ratio: tail_ratio is undefined when the lower-quantile value (denominator) is zero
• win_loss_ratio: win_loss_ratio is undefined without at least one win and one loss