Return-based risk computed in the open analytics core (quantlib.risk) from 161 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 3.12% | Sharpe | −0.67 |
| Sortino | −0.85 |
Only 8 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −3.62% | Ulcer Index | 2.07 |
| MTD | 0.30% | QTD | 0.30% |
| YTD | −2.04% | Since inception | −1.36% |
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 | −0.64 | Excess Kurtosis | 4.48 |
| Omega (θ=0) | 0.88 | Tail Ratio | 0.54 |
| Gain/Pain | −0.12 | Hit Rate | 54.66% |
| Win/Loss | 0.66 | Upside Potential | 0.40 |
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 | -0.44% | -0.56% | -0.33% | -0.47% |
| CVaR (ES) | -0.56% | -0.69% | -0.41% | -0.53% |
| VaR (Cornish-Fisher) | — | — | -0.35% | -0.73% |
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 |
|---|---|---|---|---|---|
| -3.62% | 2026-01-22 | 2026-03-03 | ongoing | 27 | — |
| -0.36% | 2025-12-10 | 2025-12-18 | 2025-12-31 | 6 | 8 |
| -0.32% | 2025-12-31 | 2026-01-02 | 2026-01-09 | 1 | 5 |
| -0.17% | 2025-11-19 | 2025-12-01 | 2025-12-05 | 7 | 4 |
| -0.14% | 2026-01-16 | 2026-01-20 | 2026-01-22 | 1 | 2 |
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.
