Return-based risk computed in the open analytics core (quantlib.risk) from 202 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 10.57% | Sharpe | −3.31 |
| Sortino | −3.26 |
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 | −25.07% | Ulcer Index | 14.73 |
| MTD | −3.24% | QTD | −3.24% |
| YTD | −19.20% | Since inception | −24.79% |
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 | −4.12 | Excess Kurtosis | 15.40 |
| Omega (θ=0) | 0.20 | Tail Ratio | 0.40 |
| Gain/Pain | −0.80 | Hit Rate | 51.98% |
| Win/Loss | 0.18 | Upside Potential | 0.05 |
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 | -0.33% | -3.34% | -1.23% | -1.69% |
| CVaR (ES) | -2.77% | -3.38% | -1.51% | -1.91% |
| VaR (Cornish-Fisher) | — | — | -1.59% | -1.85% |
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 |
|---|---|---|---|---|---|
| -25.07% | 2025-10-01 | 2026-07-13 | ongoing | 184 | — |
| -0.08% | 2025-09-24 | 2025-09-25 | 2025-09-29 | 1 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 2). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
