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 | 119.27% | Sharpe | 0.03 |
| Sortino | 0.04 |
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 | −74.18% | Ulcer Index | 48.11 |
| MTD | −9.46% | QTD | −9.46% |
| YTD | −56.20% | Since inception | −42.23% |
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 | −0.14 | Excess Kurtosis | 1.56 |
| Omega (θ=0) | 1.00 | Tail Ratio | 1.02 |
| Gain/Pain | 0.00 | Hit Rate | 49.00% |
| 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 | -12.07% | -17.77% | -12.35% | -17.47% |
| CVaR (ES) | -16.98% | -26.03% | -15.49% | -20.01% |
| VaR (Cornish-Fisher) | — | — | -12.41% | -20.93% |
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 |
|---|---|---|---|---|---|
| -74.18% | 2025-10-30 | 2026-07-28 | ongoing | 174 | — |
| -22.42% | 2025-09-26 | 2025-10-01 | 2025-10-06 | 3 | 3 |
| -8.94% | 2025-10-06 | 2025-10-08 | 2025-10-09 | 2 | 1 |
| -6.06% | 2025-10-15 | 2025-10-16 | 2025-10-22 | 1 | 4 |
| -2.80% | 2025-10-09 | 2025-10-10 | 2025-10-13 | 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.
