Return-based risk computed in the open analytics core (quantlib.risk) from 104 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 65.36% | Sharpe | −0.36 |
| Sortino | −0.47 |
Only 5 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −45.56% | Ulcer Index | 20.75 |
| MTD | −25.23% | QTD | −25.23% |
| YTD | −16.99% | Since inception | −16.99% |
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 | −0.62 | Excess Kurtosis | 0.51 |
| Omega (θ=0) | 0.94 | Tail Ratio | 0.83 |
| Gain/Pain | −0.06 | Hit Rate | 52.88% |
| Win/Loss | 0.82 | Upside Potential | 0.50 |
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 | -7.33% | -9.25% | -6.87% | -9.67% |
| CVaR (ES) | -9.36% | -11.97% | -8.59% | -11.07% |
| VaR (Cornish-Fisher) | — | — | -7.52% | -11.45% |
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 |
|---|---|---|---|---|---|
| -45.56% | 2026-05-13 | 2026-07-28 | ongoing | 41 | — |
| -16.39% | 2026-02-13 | 2026-03-06 | 2026-04-13 | 14 | 25 |
| -6.90% | 2026-05-05 | 2026-05-07 | 2026-05-12 | 2 | 3 |
| -4.10% | 2026-04-24 | 2026-04-28 | 2026-04-30 | 2 | 2 |
| -2.22% | 2026-04-20 | 2026-04-21 | 2026-04-22 | 1 | 1 |
| -1.41% | 2026-04-14 | 2026-04-15 | 2026-04-17 | 1 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 6). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
