Return-based risk computed in the open analytics core (quantlib.risk) from 202 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 18.13% | Sharpe | −1.90 |
| Sortino | −2.56 |
Only 10 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −25.16% | Ulcer Index | 15.43 |
| MTD | −4.09% | QTD | −4.09% |
| YTD | −18.78% | Since inception | −25.16% |
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 | 0.46 | Excess Kurtosis | 1.26 |
| Omega (θ=0) | 0.73 | Tail Ratio | 0.92 |
| Gain/Pain | −0.27 | Hit Rate | 42.08% |
| Win/Loss | 1.01 | Upside Potential | 0.44 |
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 | -1.93% | -2.46% | -2.02% | -2.79% |
| CVaR (ES) | -2.30% | -2.76% | -2.49% | -3.18% |
| VaR (Cornish-Fisher) | — | — | -1.83% | -2.65% |
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 |
|---|---|---|---|---|---|
| -25.16% | 2025-09-23 | 2026-07-29 | ongoing | 202 | — |
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.
