Return-based risk computed in the open analytics core (quantlib.risk) from 199 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 2.69% | Sharpe | −0.01 |
| Sortino | −0.02 |
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 | −3.90% | Ulcer Index | 1.63 |
| MTD | −1.35% | QTD | −1.35% |
| YTD | −2.24% | Since inception | −0.06% |
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 | −0.77 | Excess Kurtosis | 3.89 |
| Omega (θ=0) | 1.00 | Tail Ratio | 0.87 |
| Gain/Pain | −0.00 | Hit Rate | 52.26% |
| Win/Loss | 0.76 | 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 | -0.28% | -0.53% | -0.28% | -0.39% |
| CVaR (ES) | -0.46% | -0.72% | -0.35% | -0.45% |
| VaR (Cornish-Fisher) | — | — | -0.30% | -0.61% |
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 |
|---|---|---|---|---|---|
| -3.90% | 2026-02-23 | 2026-07-23 | ongoing | 94 | — |
| -0.48% | 2025-10-27 | 2025-12-02 | 2026-01-07 | 25 | 24 |
| -0.27% | 2026-01-16 | 2026-01-20 | 2026-01-30 | 1 | 8 |
| -0.12% | 2025-09-16 | 2025-10-14 | 2025-10-16 | 1 | 2 |
| -0.10% | 2026-01-09 | 2026-01-12 | 2026-01-13 | 1 | 1 |
| -0.08% | 2026-01-30 | 2026-02-02 | 2026-02-03 | 1 | 1 |
| -0.06% | 2026-02-10 | 2026-02-11 | 2026-02-12 | 1 | 1 |
| -0.04% | 2025-10-22 | 2025-10-23 | 2025-10-24 | 1 | 1 |
| -0.04% | 2026-02-03 | 2026-02-04 | 2026-02-05 | 1 | 1 |
| -0.04% | 2026-02-19 | 2026-02-20 | 2026-02-23 | 1 | 1 |
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.
