source: marketstack · redistributable Return-based risk computed in the open analytics core (quantlib.risk) from 0 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
Volatility & risk-adjusted return
vs S&P 500 · monthly, same window (119 months)
| Beta | 1.27 | Correlation | 0.01 |
| Up capture | 1778.68% | Down capture | −646.47% |
Standard monthly capture ratios over 119 paired month-end total returns vs SPY, computed over the same window as every metric above.
Trailing returns · total return (incl. dividends)
Insufficient history for a 63-period rolling window on this series.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|
| VaR | — | — | — | — |
| CVaR (ES) | — | — | — | — |
| VaR (Cornish-Fisher) | — | — | — | — |
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
- returns: simple_returns undefined: a prior price is 0
- skewness: skewness requires at least two observations
- kurtosis: kurtosis requires at least two observations
- periodic: period_returns needs equal-length dates and returns; got 2082 and 0
- drawdown_episodes: drawdown metrics require at least one period return
- annualized_volatility: annualized_volatility needs at least 2 observations for a ddof=1 sample std
- sharpe_ratio: sharpe_ratio requires at least two observations (sample std, ddof=1)
- sortino_ratio: downside_deviation requires at least one observation
- max_drawdown: drawdown metrics require at least one period return
- ulcer_index: drawdown metrics require at least one period return
- var_historical_95: value_at_risk_historical requires at least one return
- var_historical_99: value_at_risk_historical requires at least one return
- var_gaussian_95: insufficient data for a Gaussian estimate
- var_gaussian_99: insufficient data for a Gaussian estimate
- cvar_historical_95: conditional_var_historical requires at least one return
- cvar_historical_99: conditional_var_historical requires at least one return
- cvar_gaussian_95: insufficient data for a Gaussian estimate
- cvar_gaussian_99: insufficient data for a Gaussian estimate
- 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 requires at least one observation
- tail_ratio: tail_ratio requires at least one observation
- gain_to_pain_ratio: gain_to_pain_ratio requires at least one observation
- hit_rate: hit_rate requires at least one observation
- win_loss_ratio: win_loss_ratio requires at least one observation
- upside_potential_ratio: downside_deviation requires at least one observation
