Return-based risk computed in the open analytics core (quantlib.risk) from 158 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 149.59% | Sharpe | −1.28 |
| Sortino | −1.96 |
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 | −86.61% | Ulcer Index | 66.38 |
| MTD | −41.30% | QTD | −41.30% |
| YTD | −68.10% | Since inception | −84.63% |
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 | 1.26 | Excess Kurtosis | 3.72 |
| Omega (θ=0) | 0.80 | Tail Ratio | 1.07 |
| Gain/Pain | −0.20 | Hit Rate | 39.24% |
| Win/Loss | 1.24 | 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 | -14.03% | -18.89% | -16.26% | -22.68% |
| CVaR (ES) | -17.78% | -21.34% | -20.20% | -25.87% |
| VaR (Cornish-Fisher) | — | — | -11.91% | -16.56% |
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 |
|---|---|---|---|---|---|
| -86.61% | 2025-11-26 | 2026-07-29 | ongoing | 156 | — |
Each peak-to-recovery underwater episode, worst depth first (top 1). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
