Return-based risk computed in the open analytics core (quantlib.risk) from 100 daily returns (trailing 3y window), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 83.91% | Sharpe | −0.54 |
| Sortino | −0.79 |
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 | −41.59% | Ulcer Index | 23.59 |
| MTD | −14.80% | QTD | −14.80% |
| YTD | −27.11% | Window return | −27.11% |
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 | 0.41 | Excess Kurtosis | 1.23 |
| Omega (θ=0) | 0.91 | Tail Ratio | 1.63 |
| Gain/Pain | −0.09 | Hit Rate | 42.00% |
| Win/Loss | 1.17 | Upside Potential | 0.53 |
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 | -6.18% | -13.98% | -8.87% | -12.48% |
| CVaR (ES) | -10.86% | -15.77% | -11.08% | -14.27% |
| VaR (Cornish-Fisher) | — | — | -8.11% | -12.06% |
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 |
|---|---|---|---|---|---|
| -41.59% | 2026-04-02 | 2026-07-28 | ongoing | 69 | — |
| -13.96% | 2026-02-20 | 2026-02-23 | 2026-02-25 | 1 | 2 |
| -11.33% | 2026-03-20 | 2026-03-25 | 2026-04-02 | 3 | 6 |
| -10.77% | 2026-02-27 | 2026-03-03 | 2026-03-16 | 2 | 9 |
| -4.84% | 2026-03-17 | 2026-03-18 | 2026-03-20 | 1 | 2 |
| -3.29% | 2026-02-25 | 2026-02-26 | 2026-02-27 | 1 | 1 |
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.
