Return-based risk computed in the open analytics core (quantlib.risk) from 514 daily returns (trailing 3y window), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 3445.51% | Sharpe | 0.79 |
| Sortino | 16.27 |
| Beta | −14.83 | Correlation | −0.02 |
| Up capture | 25083.43% | Down capture | −4.26% |
Standard monthly capture ratios over 28 paired month-end total returns vs SPY, computed over the same window as every metric above.
| Max Drawdown | −99.50% | Ulcer Index | 50.68 |
| MTD | −99.00% | QTD | −99.00% |
| YTD | −99.00% | Window (ann., 3.0y) | −78.54% |
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 | 22.30 | Excess Kurtosis | 499.88 |
| Omega (θ=0) | 6.86 | Tail Ratio | — |
| Gain/Pain | 5.86 | Hit Rate | 3.31% |
| Win/Loss | 6.86 | Upside Potential | 1.20 |
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 | 0.00% | -50.00% | -346.21% | -494.13% |
| CVaR (ES) | -1.91% | -55.76% | -436.90% | -567.68% |
| VaR (Cornish-Fisher) | — | — | 5247.39% | 18333.24% |
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 |
|---|---|---|---|---|---|
| -99.50% | 2023-10-17 | 2023-12-28 | 2024-01-16 | 45 | 10 |
| -99.50% | 2024-05-08 | 2026-07-06 | ongoing | 323 | — |
| -50.00% | 2023-08-09 | 2023-08-10 | 2023-09-05 | 1 | 15 |
| -50.00% | 2023-09-06 | 2023-09-07 | 2023-09-20 | 1 | 8 |
| -50.00% | 2023-09-21 | 2023-09-22 | 2023-10-16 | 1 | 10 |
| -50.00% | 2024-01-24 | 2024-01-25 | 2024-01-29 | 1 | 2 |
| -50.00% | 2024-01-31 | 2024-02-01 | 2024-02-22 | 1 | 11 |
| -50.00% | 2024-02-27 | 2024-02-28 | 2024-03-05 | 1 | 3 |
| -50.00% | 2024-03-06 | 2024-03-07 | 2024-03-18 | 1 | 7 |
| -50.00% | 2024-03-27 | 2024-03-28 | 2024-04-08 | 1 | 5 |
Each peak-to-recovery underwater episode, worst depth first (top 10). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
